Downside Risk
An exploration of the relationship between size and risk in a downside risk framework applied to Malaysian property shares
... portfolio risk and it has received the considerable attention from researchers and practitioners (Evans, ...a risk measure is constrained by several strict assumptions: investors have a constant quadratic ...
15
An asset pricing model for mean-variance-downside-risk averse investors
... The results in this paper are consistent with those of Ang, Chen and Xing (2001), (2005) using a downside-risk asset pricing model and Post and Vliet (2004) using a mean-semivariance model. These authors ...
22
Testing Downside Risk Efficiency Under Market Distress
... distress downside risk measures like Lower Partial Moments (LP M ) are more appropriate than the standard variance to characterize ...across risk aversion ...
45
The impact of heavy tails and comovements in downside-risk diversification
... If returns on a portfolio follow an elliptical distribution, mean-variance minimizing agents construct efficient and well diversified portfolios. The empirical evidence however consistently rejects this pointing towards ...
27
Does mispricing, liquidity or third party certification contribute to IPO downside risk?
... number of uses of proceeds disclosed in the flotation prospectus, presence of a lock-in agreement, and offer size to control for deal characteristics. Firstly, Leland and Pyle’s (1977) equity retention serves as a costly ...
61
Investment Opportunities, Uncertain Implicit Transaction Costs and Maximum Downside Risk in Dynamic Stochastic Financial Optimization
... maximum downside risk while taking into account implicit transaction costs incurred in initial trading and in subsequent rebalancing of the portfolio is ...about downside deviations and are happy of ...
9
Large cap versus small cap, a downside risk comparison
... evaluate downside risk of large-cap companies, approach through S&P 500 Index, and small- cap companies, approach through Russell 2000 ...higher downside risk than ...
11
Evaluation of Return Mean and Stock Surplus Return Mean with Two Approaches of Traditional Risk and Downside Risk
... only downside is of high importance, and prefer semi-variance, and provided a strong, fundamental, practical theory to search on semi-variance under goal ...on downside risk chart, and all previous ...
15
Aversion to Risk and Downside Risk in the Large and in the Small under Non Expected Utility: A Quantile Approach
... to downside risk suggest a need to explore a different ...the risk premium as a mea- surement of the cost of ...the risk premium and risk exposure “around the mean”, such an approach ...
21
Valuation, Downside Risk Measures and Asymmetric Information: A Portfolio Optimization Approach
... calculating downside risk adjusted beta ...when risk is measured by variance, then the DCF approach and our optimal portfolio valuation produce identical ...a downside risk measure ...
13
STUDY ON DOWNSIDE RISK OF DEMAND AND COST BEHAVIOR OF LOCAL PUBLIC ENTERPRISES
... First, we decided to clarify cost behavior in local public enterprises after 1999. And we focused on “market monopoly” and “business environment” as pointed out by Nagasawa and Hosomi (2016) as a factor influencing cost ...
24
Does Accounting Conservatism Mitigate the Operating Cash Flows Downside Risk?
... The study of Louis et al. (2012) was the first empirical study in an accounting literature, which showed that accounting conservatism increases the cash holdings on a sample of (101,221) American firms/ year, during the ...
12
Downside Risk for European Equity Markets
... the downside risk ...associated downside risk ...the downside risk measures statistics are also given for maximum and minimum values, as well as the first and third ...the ...
37
THE DOWNSIDE RISK APPROACH TO COST OF EQUITY DETERMINATION FOR SLOVENIAN, CROATIAN AND SERBIAN CAPITAL MARKETS
... Research results show that the average cost of equity based on downside risk for full sample amounts to 20.16%. It is known that liberalization of fi nancial markets leads to decline in the cost of equity ...
12
Downside risk in stock and currency markets
... novel risk-based explanation for the profitability of global momentum ...higher downside market betas and lower upside market betas than losers, and hence their risks are more ...the downside market ...
141
Higher moment portfolio management with downside risk
... common risk measure that has been used in portfolio optimization since the introduction of the mean-variance ...the downside deviation but also the upside ...the downside risk that focuses on ...
5
Fuzzy Random Linear Optimization under Possibilistic Downside Risk Measures: Minimization of Possibilistic Low Partial Moment
... new downside risk measure in fuzzy stochastic decision making environments, called pos- sibilistic low partial moment (PLPM), which is an extended concept of classical low partial moment (LPM) through the ...
6
Downside risk and the size of credit spreads
... systematic risk has very little direct effect on the level of spreads, so the pricing of bonds cannot easily be related to the factors affecting the pricing of ...liquidity risk. Fourth, we find that ...
53
Basis Risk and the Welfare Gains from Index Insurance: Evidence from Northern Kenya
... basis risk. If basis risk significantly limits the benefits from IBLI, one might naturally wonder whether other products, not designed to minimize basis risk, might suffer similar or worse ...basis ...
52
Downside Business Confidence Spillovers in Europe: Evidence from Causality in Risk Tests
... The downside risk Granger-causality test results indicate that extreme pessimism in business sentiment in Greece does not Granger cause in risk similar business mood in other countries in the sample ...
21