Results 21 to 30 of about 7,301,086 (391)
Downside financial risk is misunderstood [PDF]
Judgment and Decision Making, 2016 The mathematics of downside financial risk can be difficult to understand: For example a 50% loss requires a subsequent 100% gain to break-even. A given percentage loss always requires a greater percentage gain to break-even.
Philip W. S. Newall
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Measuring parametric and semiparametric downside risks of selected agricultural commodities
Agricultural Economics (AGRICECON), 2021 In this paper, we evaluate the downside risk of six major agricultural commodities - corn, wheat, soybeans, soybean meal, soybean oil and oats. For research purposes, we first use an optimal generalised autoregressive conditional heteroscedasticity ...
Dejan Živkov +2 more
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Allocative downside risk aversion [PDF]
International Journal of Economic Theory, 2013 The literature on the intensity of downside risk aversion has been clear on the point that greater prudence is not equivalent to greater downside risk aversion, although the two concepts are linked. In the present paper, we present a new concept of the downside risk aversion of a decision maker, namely the fraction of a zero‐mean risk that the decision
Richard Watt, Francisco J. Vazquez
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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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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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Financial Conditions and Downside Risk to Economic Activity in Australia
RBA Research Discussion Papers, 2021 We apply the growth-at-risk framework to the Australian economy. This allows us to estimate how important current financial conditions are in explaining future downside risk to key macroeconomic variables.
Luke Hartigan, Michelle Wright
semanticscholar +1 more source
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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