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Downside beta

In investing, downside beta is the element of beta that investors associate with risk in the sense of the uncertain potential for loss. It is defined… 
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Papers overview

Semantic Scholar uses AI to extract papers important to this topic.
Highly Cited
2013
Highly Cited
2013
We show that asset prices behave very differently on days when important macroeconomic news is scheduled for announcement. In… 
2011
2011
CAPM has come a long way and has passed the time-test and eventually is fast coming out as a winner despite the onslaught of both… 
2010
2010
Carry trades consistently generate high excess returns with high Sharp ratios, but are subject to crash risk. I take a closer… 
2010
2010
In recent years the mean-semivariance has been proposed in place of the mean-variance as an alternative approach to portfolio… 
2009
2009
Downside risk, when properly defined and estimated, helps to explain the cross-section of US stock returns. Sorting stocks by a… 
Highly Cited
2008
Highly Cited
2008
A large literature has considered predictability of the mean or volatility of stock returns but little is known about whether the… 
Review
2008
Review
2008
Abstract Recent empirical and analytical studies have demonstrated that downside risk appears as an intuitively appealing risk… 
2008
2008
Executive Summary. This study examines the importance of downside beta when seeking to explain variations in listed property… 
Highly Cited
2007
2004
2004
The mean-semivariance CAPM strongly outperforms the traditional mean-variance CAPM in terms of its ability to explain the cross…