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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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Related topics

Related topics

5 relations
Capital asset pricing modelDownside riskDual-betaUpside beta

Papers overview

Semantic Scholar uses AI to extract papers important to this topic.
2017
2017
Downside CAPM: The case of South Africa
Beta and the capital asset pricing model have traditionally been the preferred measures of risk. However, there is growing… 
2015
2015
Η σχέση μεταξύ αναμενόμενης απόδοσης και Downside Beta
The study of the relationship expected return and risk is one of the greatest challenges for researchers, since 1952 when the H… 
2015
2015
The Inconvenient Truth of the Downside Beta
In this thesis, we perform a robustness test of the interesting findings by in particular Artavanis (2013), but also Ang et al… 
2013
2013
Why Downside Beta Is Better: An Educational Example.
An educational example is presented that is an effective teaching illustration to help students understand the difference between… 
2013
2013
A Treatise on Downside Risk
This paper discusses the appropriate methodology for the estimation of systematic downside risk and examines its ability to… 
2013
2013
Working Paper Series The Entrepreneur ’ s Cost of Capital : Incorporating Downside Risk in the Buildup Method
Capital Asset Pricing Model (CAPM) suggests that an investor’s cost of equity capital is determined by beta, a measure of… 
2012
2012
Option Pricing in the Cross-Section of Stock Returns
This paper explicitly derives the cross-sectional predictions of an intertemporal equilibrium asset pricing model when aggregate… 
2009
2009
Sorting Out Downside Beta
Downside risk, when properly defined and estimated, helps to explain the cross-section of US stock returns. Sorting stocks by a… 
2006
2006
Some Analytical and Empirical Results on the Relationship between CAPM Beta and Downside Beta
Using a data generating process in the mean-variance framework a relationship between CAPM beta and downside beta is derived. The… 
2005
2005
Relationship between Downside Beta and CAPM Beta
This paper establishes the relationship between the CAPM beta and three measures of downside beta assuming the market model and a… 
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