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The Low Downside Risk Effect - Lower Risk and Higher Returns with Low Downside Risk
SSRN Electronic Journal, 2013Past downside risk is shown to have an even stronger influence on future stock sector performance than past low risk as represented by traditional risk parameters that represent both down- and upside risk in one single measure.The fact past low (downside) risk stocks outperform past high risk stocks in the future (or the fact past high risk stocks don ...
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Measures of downside risk [PDF]
Economics Bulletin, 2005 The paper characterizes a family of downside risk measures. They depend on a target value and a parameter reflecting the attitude towards downside risk. The indicators are probability weighted -order means of possible shortfalls. They form a subclass of the measures intro¬duced by Stone (1973) and are related to the measures proposed by Fishburn (1977).
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Accounting-based downside risk and stock price crash risk: Evidence from China
Finance Research Letters, 2022Yan Luo
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Attention to climate change and downside risk: Evidence from China
Risk Analysis, 2023Fenghua Wen
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Accounting-based downside risk and expected stock returns: Evidence from China
International Review of Financial Analysis, 2021Yan Luo, Wei Huang
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