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SSRN Electronic Journal, 2004 Economists have long recognized that investors care differently about downside losses versus upside gains. Agents who place greater weight on downside risk demand additional compensation for holding stocks with high sensitivities to downside market ...
Andrew Ang, Joseph Chen, Yuhang Xing
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Modelling the downside risk potential of mutual fund returns
Cogent Economics & Finance, 2022 Investors are becoming more sensitive about returns and losses, especially when the investments are exposed to downside risk potential in the financial markets.
Sunitha Kumaran
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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.
Mihály Ormos, Dusán Timotity
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Decentralized Downside Risk Management
SSRN Electronic Journal, 2009 The process of risk management for institutional investors faces two challenges. First, since most institutions are decentralized as opposed to being direct investors in assets, it is difficult to separate the risks of the assets in the portfolio from the risks generated by the investment decisions by the fund management to construct the portfolio.
Andrea Reed +2 more
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Measuring downside risk-realised semivariance [PDF]
SSRN Electronic Journal, 2008 We propose a new measure of risk, based entirely on downwards moves measured using high frequency data. Realised semivariances are shown to have important predictive qualities for future market volatility.
Neil Shephard +2 more
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Extreme Downside Risk and Financial Crises [PDF]
SSRN Electronic Journal, 2015 We investigate the dynamics of the relationship between returns and extreme downside risk in different states of the market by combining the framework of Bali, Demirtas, and Levy (2009) with a Markov switching mechanism. We show that the risk-return relationship identified by Bali, Demirtas, and Levy (2009) is highly significant in the low volatility ...
Richard Harris +2 more
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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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Measures of downside risk [PDF]
Economics Bulletin, 2005 The paper characterizes a family of downside risk measures. They depend on a target value and a parameter reflecting the attitude towards downside risk. The indicators are probability weighted -order means of possible shortfalls.
Udo Ebert
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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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