Results 1 to 10 of about 16,477 (266)
Analysis of the Persistence of the Negative Relationship between Downside Risk and Expected Excess Returns in Future [PDF]
Journal of Asset Management and Financing, 2022 In risky situations, people's behavioral biases may lead them to deviate from rational decisions leading to a negative relationship anomaly between risk and return. Investors underreact the stock with a recently negative return (exposed to downside risk)
Mahshid Shahrzadi, Darush Foroghi
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Downside Beta and Downside Gamma: In Search for a Better Capital Asset Pricing Model
Risks, 2021 In the financial world, the importance of “downside risk” and “higher moments” has been emphasized, predominantly in developing countries such as Pakistan, for a substantial period.
Madiha Kazmi +3 more
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Downside risk and defaultable bond returns
Journal of Management Science and Engineering, 2021 This paper analyzes the influence of downside risk on defaultable bond returns. By introducing a defaultable bond-trading model, we show that the decline in market risk tolerance and information accuracy leads to trading loss under downside conditions ...
Xinting Li +3 more
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Downside financial risk is misunderstood [PDF]
Judgment and Decision Making, 2016 The mathematics of downside financial risk can be difficult to understand: For example a 50% loss requires a subsequent 100% gain to break-even. A given percentage loss always requires a greater percentage gain to break-even.
Philip W. S. Newall
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Analyzing the Relationship between Earnings Attributes, Earnings Beta, Earnings Volatility and Return Downside Risk measures with Earnings Downside Risk [PDF]
مطالعات تجربی حسابداری مالی, 2019 The purpose of this study is to investigate the information content of a new risk measure (earnings downside risk) in financial statement analysis, which is based on the below-expectation variability in earnings.
mahnam molaei +2 more
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Modeling and Forecasting Macroeconomic Downside Risk [PDF]
SSRN Electronic Journal, 2021 We model permanent and transitory changes of the predictive density of US GDP growth. A substantial increase in downside risk to US economic growth emerges over the last 30 years, associated with the long-run growth slowdown started in the early 2000s.
Delle Monache, Davide +2 more
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Measuring parametric and semiparametric downside risks of selected agricultural commodities
Agricultural Economics (AGRICECON), 2021 In this paper, we evaluate the downside risk of six major agricultural commodities - corn, wheat, soybeans, soybean meal, soybean oil and oats. For research purposes, we first use an optimal generalised autoregressive conditional heteroscedasticity ...
Dejan Živkov +2 more
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Cryptocurrency Trading and Downside Risk
Risks, 2023 Since the debut of cryptocurrencies, particularly Bitcoin, in 2009, cryptocurrency trading has grown in popularity among investors. Relative to other conventional asset classes, cryptocurrencies exhibit high volatility and, consequently, downside risk ...
Farhat Iqbal +2 more
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Allocative downside risk aversion [PDF]
International Journal of Economic Theory, 2013 The literature on the intensity of downside risk aversion has been clear on the point that greater prudence is not equivalent to greater downside risk aversion, although the two concepts are linked. In the present paper, we present a new concept of the downside risk aversion of a decision maker, namely the fraction of a zero‐mean risk that the decision
Richard Watt, Francisco J. Vazquez
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Downside Risk Aversion and the Downside Risk Premium [PDF]
Journal of Risk and Insurance, 2018 AbstractWe search for a definition of the downside risk premium analogous to the Pratt–Arrow definition of the risk premium. However, even in the local analysis difficulties arise. To overcome these, we propose a definition based on the difference between two gambles.
Zeng, Q, Stapleton, RC
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