Results 271 to 280 of about 18,361 (310)

How climate change shapes global systemic risk transmission: A complex network approach. [PDF]

PLoS One
Zeng L, Lau WY.
europepmc   +1 more source

Downside Risk [PDF]

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

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Momentum and Downside Risk

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

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
openaire   +3 more sources

Downside Risk Neutral Probabilities

SSRN Electronic Journal, 2015
We 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

Greater Downside Risk Aversion

Journal of Risk and Uncertainty, 2002
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Keenan, Donald C., Snow, Arthur
openaire   +1 more source

On the Risk–Downside Risk Tradeoff

The Manchester School, 2004
In 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
openaire   +1 more source