Results 11 to 20 of about 16,477 (266)
Downside Variance Risk Premium [PDF]
SSRN Electronic Journal, 2015 We propose a new decomposition of the variance risk premium in terms of upside and downside variance risk premia. The difference between upside and downside variance risk premia is a measure of skewness risk premium. We establish that the downside variance risk premium is the main component of the variance risk premium, and that the skewness risk ...
Bruno Feunou +2 more
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Measuring Downside Risk – Realized Semivariance* [PDF]
SSRN Electronic Journal, 2008 We propose a new measure of risk, based entirely on downward moves measured using high frequency data. Realised semivariances are shown to have important predictive qualities for future market volatility. The theory of these new measures is spelt out, drawing on some new results from probability theory.
Barndorff-Nielsen, Ole +2 more
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The value relevance of risk-related disclosure: Does the tone of disclosure matter?
Borsa Istanbul Review, 2022 This paper investigates whether risk-related disclosure, which includes aggregate risk disclosure and its tone, including upside and downside risk disclosures, is value relevant for investors in the UK market.
Tamer Elshandidy, Cheng Zeng
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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
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Risk Connectedness among International Stock Markets: Fresh Findings from a Network Approach
Systems, 2023 In this study, we analyze the upside and downside risk connectedness among international stock markets. We characterize the connectedness among international stock returns using the Diebold and Yilmaz spillover index approach and compute the upside and ...
Ki-Hong Choi, Seong-Min Yoon
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Downside risk and asset pricing [PDF]
Journal of Banking & Finance, 2006 We analyze if the value-weighted stock market portfolio is stochastic dominance (SD) efficient relative to benchmark portfolios formed on size, value, and momentum. In the process, we also develop several methodological improvements to the existing tests for SD efficiency.
Post, G.T., van Vliet, P.
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Downside CAPM: The case of South Africa
Journal of Economic and Financial Sciences, 2016 Beta and the capital asset pricing model have traditionally been the preferred measures of risk. However, there is growing literature against the use of the capital asset pricing model to determine the cost of equity in markets, such as emerging markets,
Kwasi Okyere-Boakye, Brandon O’Malley
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Tail Risk Transmission: A Study of the Iran Food Industry
Risks, 2020 This paper extends the extreme downside correlation (EDC) and extreme downside hedge (EDH) methodology to model the interdependence in the sensitivity of assets to the downside risk of other financial assets under severe firm-level and market conditions.
Fatemeh Mojtahedi +3 more
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Pension funding incorporating downside risks [PDF]
Insurance: Mathematics and Economics, 2003 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Chang, S. C. +2 more
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Mathematics, 2020 This study employs a mean semi-variance asset pricing framework to examine the influence of risk factors on stock returns of oil and gas companies. This study also examines how downside risk is priced in stock performance.
Mohammad Enamul Hoque, Soo-Wah Low
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