Systematic Risk in Emerging Markets : the D-capm

@inproceedings{Estrada2002SystematicRI,
  title={Systematic Risk in Emerging Markets : the D-capm},
  author={Javier Estrada},
  year={2002}
}
There is by now a growing literature arguing against the use of the CAPM to estimate required returns on equity in emerging markets. One of the characteristics of this model is that it measures risk by beta, which follows from an equilibrium in which investors display mean-variance behavior. In that framework, risk is assessed by the variance of returns, a questionable and restrictive measure of risk. The semivariance of returns is a more plausible measure of risk and can be used to generate an… CONTINUE READING
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