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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… Expand
Wikipedia

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… Expand
2013
2013
Distributional properties of emerging market returns may impact on investor ability and willingness to diversify. Investors may… Expand
2010
2010
In recent years the mean-semivariance has been proposed in place of the mean-variance as an alternative approach to portfolio… Expand
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2010
2010
Carry trades consistently generate high excess returns with high Sharp ratios, but are subject to crash risk. I take a closer… Expand
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2009
2009
Downside risk, when properly defined and estimated, helps to explain the cross-section of US stock returns. Sorting stocks by a… Expand
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… Expand
2008
2008
Executive Summary. This study examines the importance of downside beta when seeking to explain variations in listed property… Expand
Highly Cited
2007
Highly Cited
2007
For over 30 years academics and practitioners have been debating the merits of the CAPM. One of the characteristics of this model… Expand
2006
2006
Using a data generating process in the mean-variance framework a relationship between CAPM beta and downside beta is derived. The… Expand
2004
2004
The mean-semivariance CAPM strongly outperforms the traditional mean-variance CAPM in terms of its ability to explain the cross… Expand
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