Results 31 to 40 of about 7,301,086 (391)
Downside CAPM: The case of South Africa
Journal of Economic and Financial Sciences, 2016 Beta and the capital asset pricing model have traditionally been the preferred measures of risk. However, there is growing literature against the use of the capital asset pricing model to determine the cost of equity in markets, such as emerging markets,
Kwasi Okyere-Boakye, Brandon O’Malley
doaj +1 more source
Portfolio selection in euro area with CAPM and Lower Partial Moments models [PDF]
, 2020 This article selects portfolios using estimates given by CAPM and three Lower Partial Moments models (LPM). The CAPM assumption about investors’ behaviour towards risk is that they are equally concerned with upside and downside risk.
Fonseca, José Soares da
core +1 more source
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
Pension funding incorporating downside risks [PDF]
Insurance: Mathematics and Economics, 2003 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Chang, S. C. +2 more
openaire +2 more sources
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
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
doaj +1 more source
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
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
openaire +1 more source
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
openaire +3 more sources
Applied EconomicsThis study explores the relationship between the green bond and Islamic sectoral markets in terms of downside risk. A new framework was developed using CAViaR and QVAR techniques to construct hedging and portfolio strategies.
Mabruk Billah +4 more
semanticscholar +1 more source