Results 201 to 210 of about 5,439,964 (250)
Downside Risk in Emerging Markets [PDF]
Emerging Markets Finance and Trade, 2012 This paper investigates the relation between downside risk and expected returns on the aggregate stock market in an international context. Nonparametric and parametric value at risk are used as measures of downside risk to determine the existence of a risk-return trade-off. For emerging markets, fixed effects panel data regressions provide evidence for
Atılgan, Yiğit, Demirtaş, Özgür
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Does corporate governance have a differential effect on downside and upside risk?
Journal of Business Finance and Accounting, 2022 We investigate whether corporate governance has differential effects on downside and upside risk. Intuitively, strong corporate governance should decrease the downside risk but increase the upside risk.
Searat Ali, Benjamin Liu
exaly +2 more sources
Review of Financial Studies, 2004 Agents who place greater weight on the risk of downside losses than they are attach to upside gains demand greater compensation for holding stocks with high downside risk. We show that the cross-section of stock returns reflects a premium for downside risk.
Andrew Ang, Joseph S. Chen, Yuhang Xing
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SSRN Electronic Journal, 2010
Abstract We examine whether time-variation in the profitability of momentum strategies is related to variation in macroeconomic conditions. We find reliable evidence that the momentum strategy exposes investors to greater downside risk. Momentum strategies deliver economically large and statistically reliable negative profits in bad economic states ...
Byoung-Kyu Min, Tong Suk Kim
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Abstract We examine whether time-variation in the profitability of momentum strategies is related to variation in macroeconomic conditions. We find reliable evidence that the momentum strategy exposes investors to greater downside risk. Momentum strategies deliver economically large and statistically reliable negative profits in bad economic states ...
Byoung-Kyu Min, Tong Suk Kim
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Downside Risk Neutral Probabilities
SSRN Electronic Journal, 2015We show that there exists a probability measure under which the CAPM formula for expected returns holds for general utility functions and probability distributions. This probability measure, the “downside risk-neutral” measure, is adjusted to incorporate the effects of downside risk and higher degree risks.
Pierre Chaigneau, Louis Eeckhoudt
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Greater Downside Risk Aversion
Journal of Risk and Uncertainty, 2002zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Keenan, Donald C., Snow, Arthur
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On the Risk–Downside Risk Tradeoff
The Manchester School, 2004In the last decade the literature has established the empirical importance of the tradeoff between risk and downside risk in a variety of economic settings. While the notions of risk and downside risk have been generalized in the theoretical literature, the literature has yet to provide a choice‐theoretic characterization of their tradeoff.
Carmen F. Menezes, X. Henry Wang
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The Downside Risk of Elevation [PDF]
SSRN Electronic Journal, 2014 Being granted a title enhances the status of the awardee while its loss has an opposite effect. The present article examines whether the latter effect dominates the former in the sense that elevation is less status-enhancing than relegation is status-damaging.
Kerstin Bruckmeier +2 more
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Decreasing Downside Risk Aversion and Background Risk [PDF]
SSRN Electronic Journal, 2014 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Crainich, David +2 more
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