Results 21 to 30 of about 5,439,964 (250)
Tail Risk Transmission: A Study of the Iran Food Industry
Risks, 2020 This paper extends the extreme downside correlation (EDC) and extreme downside hedge (EDH) methodology to model the interdependence in the sensitivity of assets to the downside risk of other financial assets under severe firm-level and market conditions.
Fatemeh Mojtahedi +3 more
doaj +1 more source
Financial Services Review, 2014 This article examines the ability of consumer sentiment for different age groups to forecast short-term as well as long-term equity returns. Using a long-horizon asymmetric response regression format, we show that negative changes in sentiment have a greater influence on stock returns than positive changes in sentiment.
Mark A. Johnson, Atsuyuki Naka
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Comparing Semivariance and Calculated Beta on Basis of it to the Variance and Common Beta [PDF]
تحقیقات مالی, 2009 In this article the researcher, comparing Semivariance and calculated Beta on basis of it to the variance and common Beta, has tried to see whether Downside Beta criteria (Semivariance and calculated Beta on basis of it) have any preference over the ...
Reza tehrani, Moslem Peymany
doaj
Mathematics, 2020 This study employs a mean semi-variance asset pricing framework to examine the influence of risk factors on stock returns of oil and gas companies. This study also examines how downside risk is priced in stock performance.
Mohammad Enamul Hoque, Soo-Wah Low
doaj +1 more source
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
doaj +1 more source
International Journal of Financial Studies, 2018 This paper investigates the risk-return relations in Chinese equity markets. Based on a TARCH-M model, evidence shows that stock returns are positively correlated with predictable volatility, supporting the risk-return relation in both aggregate and ...
Thomas C. Chiang, Yuanqing Zhang
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Downside risk and the size of credit spreads [PDF]
, 2011 We investigate why spreads on corporate bonds are so much larger than expected losses from default. Systematic factors make very little contribution to spreads, even if higher moments or downside effects are taken into account. Instead we find that sizes
Gordon Gemmill +3 more
core +1 more source
ESG and Downside Risks: Implications for Pension Funds
SSRN Electronic Journal, 2021 Abstract Due to their long-term horizons, pension funds face enhanced exposures to the long-lived effects of many environmental, social, and governance (ESG) risks. Moreover, given the potential consequences of being underfunded, pension funds are particularly exposed to ESG-related downside shocks, especially those related to climate ...
Zacharias Sautner, Laura T. Starks
openaire +2 more sources
Market and Accounting Measures of Risk: The Case of the Frankfurt Stock Exchange
Risks, 2022 The main purpose of this study was to explore the relationship between market and accounting measures of risk and the profitability of companies listed on the Frankfurt Stock Exchange.
Anna Rutkowska-Ziarko
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The impact of heavy tails and comovements in downside-risk diversification [PDF]
, 2007 This paper uncovers the factors influencing optimal asset allocation for downside-risk averse investors. These are comovements between assets, the product of marginal tail probabilities, and the tail index of the optimal portfolio.
Gonzalo, Jesús, Olmo, José
core +2 more sources