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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
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Papers overview

Semantic Scholar uses AI to extract papers important to this topic.
Highly Cited
2014
Highly Cited
2014
We show that asset prices behave very differently on days when important macroeconomic news is scheduled for announcement. In… Expand
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2014
2014
I propose a new factor—the global downside market factor—to explain high returns to carry trades. I show that carry trades have… Expand
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2013
2013
An educational example is presented that is an effective teaching illustration to help students understand the difference between… Expand
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2012
2012
Downside risk, when properly defined and estimated, helps to explain the cross-section of US stock returns. Sorting stocks by a… Expand
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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… 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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2010
2010
We examine whether CEO equity incentives are related to firm risk. Our study differs from prior research in that we distinguish… Expand
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2009
2009
This study aims to examine the ability of downside beta in explaining the Australian direct property returns with addressing the… Expand
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2008
2008
Executive Summary. This study examines the importance of downside beta when seeking to explain variations in listed property… Expand
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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
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