Results 241 to 250 of about 30,883 (281)

Traditional beta, downside risk beta and market risk premiums

The Quarterly Review of Economics and Finance, 2004
Abstract The article develops a downside risk asset-pricing model, which is based on Conditional-VaR (Mean-shortfall) risk measure. As in the traditional model the model leads to a monetary separation and yields a CVaR beta analogous to the traditional beta.
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Examining significance of “downside beta” as a measure of risk – evidence from Indian equity market

International Journal of Emerging Markets, 2023
PurposeMany studies have shown that from a theoretical and empirical point of view, downside risk-based measures of risk are better than the traditional ones. Despite academic appeal and practical implications, downside risk has not been thoroughly examined in markets outside developed country markets. Using downside beta as a measure of downside risk,
Sivakumar Menon, Pitabas Mohanty, Uday Damodaran, Divya Aggarwal   +3 more
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Downside Beta and Valuation-Based Property Returns

Pacific Rim Property Research Journal, 2009
This study aims to examine the ability of downside beta in explaining the Australian direct property returns with addressing the smoothing issue. Utilising the quarterly IPD/PCA Australian property indices over 1995-2008, the results reveal that smoothed and unsmoothed downside betas are statistically distinguishable.
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A time-varying perspective on the CAPM and downside betas

International Review of Economics & Finance, 2014
Abstract In the current study, we focus on the capital asset pricing model (CAPM) beta and downside betas. The empirical results of market index returns in the international samples of 23 developed countries exhibit significant differences between the CAPM and downside betas, indicating that these models capture distinct risks.
Tsai, Hsiu-Jung, Chen, Ming-Chi, Yang, Chih-Yuan   +2 more
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An alternative perspective on the relationship between downside beta and CAPM beta

Emerging Markets Review, 2007
Abstract In this paper we derive relationships between the CAPM beta and three measures of downside risk discussed in the literature. The relationships are derived assuming data generating processes in the mean-variance and mean-semivariance frameworks.
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An Investigation of Beta and Downside Beta Based CAPM-Case Study of Karachi Stock Exchange

SSRN Electronic Journal, 2013
Sharpe’s (1964) Capital Asset Pricing Model (CAPM) assumes that the relationship between risk and return is positive, linear and significant. However, it is not free from controversies and one of them advocates replacing CAPM’s beta by downside beta based on investors’ preference of downside risk. Roy (1952) debates that investor care for downside risk
Mohammad Tahir, Qaiser Abbas, Shahid Mehmood Sargana, Usman Ayub, Syed Kashif Saeed   +4 more
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Validating Downside Accounting Beta: Evidence from the Polish Construction Industry

2018
This paper applies a method for measuring market risk called Downside Accounting Beta (DAB), previously developed by Rutkowska-Ziarko and Pyke (Econ Bus Rev 3(4):55–65, 2017). DAB shows how changes in the profitability of a sector affect the profitability of a company in that sector. DAB can also be applied to whole market.
Anna Rutkowska-Ziarko, Christopher Pyke
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AN ANALYTICAL FRAMEWORK FOR EXPLAINING RELATIVE PERFORMANCE OF CAPM BETA AND DOWNSIDE BETA

International Journal of Theoretical and Applied Finance, 2009
Even though investors' view of risk is generally regarded as related to the downside of the return distribution the CAPM beta is still a widely used measure of systematic risk. A number of studies compare the empirical performance of CAPM beta and downside beta in explaining the variation in portfolio returns and report mixed results.
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Conventional and Downside Betas and Higher Co-moments in the Asset Pricing Relations

2020
This study examined the cross-sectional relationships between realized returns and systematic risk measures using sub-sectoral indices quoted on Warsaw Stock Exchange. In addition to the classical beta, the aim of the study is also to check the impact of higher order co-moments on the sub-indices pricing. The unconditional risk-return relationships are
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Harvesting the Downside Beta Premium with the Implied Volatility Term Structure: The Cinderella Strategy

SSRN Electronic Journal, 2014
Ang, Chen and Xing have shown in "Downside Risk" that stocks that covary strongly with the market during market declines have high average returns. The reward for bearing downside risk is not simply compensation for regular market beta, nor is it explained by coskewness or liquidity risk, or by size, value, and momentum characteristics.
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