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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Residual Structural State and Short-Horizon Downside-Risk Forecasting in Cryptocurrency Markets
MathematicsThis paper examines whether a residual structural state extracted from cross-asset downside-risk dependence contains incremental information for forecasting next-day market downside risk beyond a strong heterogeneous autoregressive (HAR) benchmark.
Rong-Ho Lin +4 more
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Accounting-based downside risk, cost of capital, and the macroeconomy
Review of Accounting Studies, 2015 Yaniv Konchitchki +2 more
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Does corporate governance have a differential effect on downside and upside risk? [PDF]
Journal of Business Finance and Accounting, 2022 Searat Ali, Benjamin Liu
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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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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 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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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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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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