Results 321 to 330 of about 7,301,086 (391)
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Dividend policy and the downside risk in stock prices: evidence from the MENA region
The Journal of Risk Finance, 2021PurposeThe aim of this paper is to document the impact of dividend policies on the downside risk in stock prices.Design/methodology/approachThe authors use the data for non-financial firms from the MENA region to test our arguments by estimating the ...
Omar Farooq +3 more
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Factor Models with Downside Risk
Social Science Research Network, 2021We propose a conditional model of asset returns in the presence of common factors and downside risk. Specifically, we generalize existing latent factor models in three ways: we show how to estimate the threshold which identifies the 'disappointment ...
D. Massacci +2 more
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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
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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
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Downside Risk Neutral Probabilities
SSRN Electronic Journal, 2015We 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
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Decreasing Downside Risk Aversion and Background Risk [PDF]
SSRN Electronic Journal, 2014 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Crainich, David +2 more
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Greater Downside Risk Aversion
Journal of Risk and Uncertainty, 2002zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Keenan, Donald C., Snow, Arthur
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The Journal of Alternative Investments, 2016
It is well known that investors have asymmetric risk preferences when it comes to bearing downside risk versus participating in the upside. Options markets provide a useful and intuitive way to quantify these asymmetric preferences by way of the returns associated with being on either side. The authors show this using equity index options and find that
Roni Israelov +2 more
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It is well known that investors have asymmetric risk preferences when it comes to bearing downside risk versus participating in the upside. Options markets provide a useful and intuitive way to quantify these asymmetric preferences by way of the returns associated with being on either side. The authors show this using equity index options and find that
Roni Israelov +2 more
openaire +1 more source
ESG performance, corporate innovation and downside risk: empirical evidence from China
International Journal of Emerging MarketsPurposeThis study mainly explores how ESG performance (ESG stands for Environment, Social, and Governance) affects corporate downside risk through innovation input and innovation output, thereby promoting sustainable development of enterprises.Design ...
Binghong Lin, B. Li
semanticscholar +1 more source
SSRN Electronic Journal, 2012
In an intertemporal equilibrium asset pricing model featuring disappointment aversion and changing macroeconomic uncertainty, we show that besides the market return and market volatility, three disappointment related factors are also priced. They can be interpreted as a disappointment, a market downside, and a volatility downside factor, respectively ...
Adam Farago, Romeo Tedongap
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In an intertemporal equilibrium asset pricing model featuring disappointment aversion and changing macroeconomic uncertainty, we show that besides the market return and market volatility, three disappointment related factors are also priced. They can be interpreted as a disappointment, a market downside, and a volatility downside factor, respectively ...
Adam Farago, Romeo Tedongap
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Environmental Taxes in Newsvendor Supply Chains: A Mean-Downside-Risk Analysis
IEEE Transactions on Systems, Man, and Cybernetics: Systems, 2020Nowadays, governments all around the world have implemented rules and launched legislation to enhance environmental sustainability. Supply chain systems are hence operated under different forms of legislation, such as the carbon tax or extended producer ...
H. Chan, T. Choi, Yancheng Cai, Bin Shen
semanticscholar +1 more source