Results 211 to 220 of about 16,477 (266)
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 movements.
Andrew Ang, Joseph Chen, Yuhang Xing
openaire +1 more source
Some of the next articles are maybe not open access.
Related searches:
Related searches:
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
openaire +1 more source
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
openaire +1 more source
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
openaire +1 more source
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
openaire +2 more sources
Greater Downside Risk Aversion
Journal of Risk and Uncertainty, 2002zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Keenan, Donald C., Snow, Arthur
openaire +1 more source
The Journal of Alternative Investments, 2016
It is well known that investors have asymmetric risk preferences when it comes to bearing downside risk versus participating in the upside. Options markets provide a useful and intuitive way to quantify these asymmetric preferences by way of the returns associated with being on either side. The authors show this using equity index options and find that
Roni Israelov +2 more
openaire +1 more source
It is well known that investors have asymmetric risk preferences when it comes to bearing downside risk versus participating in the upside. Options markets provide a useful and intuitive way to quantify these asymmetric preferences by way of the returns associated with being on either side. The authors show this using equity index options and find that
Roni Israelov +2 more
openaire +1 more source