Results 21 to 30 of about 30,883 (281)
Downside Beta and Equity Returns around the World
The Journal of Portfolio Management, 2018 In this article, the authors investigate the relation between downside beta and stock returns in a global context using more than 170 million daily return observations. Contrary to the results in the U.S. equity market, they find that downside beta does not explain the cross-sectional differences in future and contemporaneous returns in an ...
Atılgan, Yiğit +3 more
openaire +2 more sources
Borsa Istanbul Review, 2018 This study makes a comparative analysis of the explanatory power of CAPM and downside CAPM based risk measures for stock returns in Borsa Istanbul. 22 risk measures based on mean-variance and mean-semivariance approaches using global and local single ...
Mehmet Emin Yildiz, Yaman O. Erzurumlu
doaj +1 more source
Using downside CAPM theory to improve customer lifetime value prediction in non-contractual setting [PDF]
Management Science Letters, 2013 Identifying and selecting the most profitable customers from a shareholder’s perspective is of great interest to marketing managers. One promising line in this regard is to explore the customer lifetime value and its profitable management over time ...
Amir Albadvi, Ashraf Norouzi
doaj +1 more source
A comparative study of the performance of Saudi mutual funds [PDF]
, 2016 This study examines the performance of 21 Saudi mutual funds using the CAPM and downside CAPM D-CAPM models over the period 2005-2011. Initially equity fund performance is examined against two benchmarks TASI and the GCCI Islamic index utilizing the ...
El-Masry, AA, El-Mousallamy, D
core +2 more sources
Contagion and downside risk in the REIT market during the subprime mortgage crisis
International Journal of Strategic Property Management, 2015 This study empirically tests the contagion effects in stock and real estate investment trust (REIT) markets during the subprime mortgage crisis by using daily stock- and REIT-markets data from the following countries and international bodies: the United ...
Ming-Chi Chen +3 more
doaj +1 more source
Risk Measures for Autocorrelated Hedge Fund Returns [PDF]
, 2011 Standard risk metrics tend to underestimate the true risks of hedge funds because of serial correlation in the reported returns. Getmansky et al. (2004) derive mean, variance, Sharpe ratio, and beta formulae adjusted for serial correlation.
Di Cesare, A. (Antonio) +2 more
core +3 more sources
Comparing Semivariance and Calculated Beta on Basis of it to the Variance and Common Beta [PDF]
تحقیقات مالی, 2009 In this article the researcher, comparing Semivariance and calculated Beta on basis of it to the variance and common Beta, has tried to see whether Downside Beta criteria (Semivariance and calculated Beta on basis of it) have any preference over the ...
Reza tehrani, Moslem Peymany
doaj
Bear Beta or Speculative Beta?—Reconciling the Evidence on Downside Risk Premium
Review of Finance, 2022 Abstract This article develops a new approach to explain why risk factors constructed from index option returns are priced in the stock market. We decompose an option-based factor into three main components and identify the one responsible for the beta–return relationship.
openaire +2 more sources
Downside beta and the cross section of equity returns: A decade later
European Financial Management, 2020 AbstractThis study reexamines the relation between downside beta and equity returns in the United States. First, we replicate the 2006 work of Ang, Chen, and Xing who find a positive relation between downside beta and future equity returns for equal‐weighted portfolios of NYSE stocks.
Atılgan, Yiğit +2 more
openaire +3 more sources
Generalized asset pricing: Expected Downside Risk-Based Equilibrium Modelling [PDF]
, 2015 We introduce an equilibrium asset pricing model, which we build on the relationship between a novel risk measure, the Expected Downside Risk (EDR) and the expected return.
Ormos, Mihaly, Timotity, Dusan
core +2 more sources