Is There a Relation Between Downside Risk and Expected Stock Returns?•

Abstract

This paper examines the intertemporal relation between downside risk and expected stock returns. Value at risk (VaR), expected shortfall, and tail risk are used as measures of downside risk to determine the existence and significance of a risk-return tradeoff for several stock market indices. We find a positive and significant relation between downside risk… (More)

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Cite this paper

@inproceedings{Bali2006IsTA, title={Is There a Relation Between Downside Risk and Expected Stock Returns?•}, author={Turan G. Bali and K. Ozgur Demirtas and Haim Levy}, year={2006} }