Results 21 to 30 of about 18,361 (310)
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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Modeling and Forecasting Macroeconomic Downside Risk [PDF]
SSRN Electronic Journal, 2021 We model permanent and transitory changes of the predictive density of US GDP growth. A substantial increase in downside risk to US economic growth emerges over the last 30 years, associated with the long-run growth slowdown started in the early 2000s.
Delle Monache, Davide +2 more
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Cryptocurrency Trading and Downside Risk
Risks, 2023 Since the debut of cryptocurrencies, particularly Bitcoin, in 2009, cryptocurrency trading has grown in popularity among investors. Relative to other conventional asset classes, cryptocurrencies exhibit high volatility and, consequently, downside risk ...
Farhat Iqbal +2 more
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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 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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Systematic extreme downside risk [PDF]
Journal of International Financial Markets, Institutions and Money, 2019 Abstract We propose new systematic tail risk measures constructed using two different approaches. The first is a non-parametric measure that captures the tendency of a stock to crash at the same time as the market, while the second is based on the sensitivity of stock returns to innovations in market crash risk. Both tail risk measures are associated
Harris, Richard +2 more
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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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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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