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… (More)
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Topic mentions per year

Topic mentions per year

2001-2015
01220012015

Papers overview

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2015
2015
We propose a measure for extreme downside risk (EDR) to investigate whether bearing such a risk is rewarded by higher expected… (More)
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2015
2015
Distributional properties of emerging market returns may impact on investor ability and willingness to diversify. Investors may… (More)
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2013
2013
Capital Asset Pricing Model (CAPM) suggests that an investor’s cost of equity capital is determined by beta, a measure of… (More)
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2011
2011
We examine whether investors get a compensation for holding stocks with a strong sensitivity to extreme market downside movements… (More)
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2011
2011
We investigate the relation between various alternative risk measures and future daily returns using a sample of firms over the… (More)
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2010
2010
Carry trades consistently generate high excess returns with high Sharpe ratios. I propose a new factor the downside market factor… (More)
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2007
2007
  • Javier EstradaT
  • 2007
For over 30 years academics and practitioners have been debating the merits of the CAPM. One of the characteristics of this model… (More)
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2005
2005
Several studies advocating safety first as a major concern to investors propose downside beta risk as an alternative to the… (More)
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2002
2002
There is by now a growing literature arguing against the use of the CAPM to estimate required returns on equity in emerging… (More)
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2002
2002
For over 30 years academics and practitioners have been debating about the merits of the CAPM. One of the characteristics of this… (More)
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