Asset pricing and downside risk in the Australian share market
Sign Up to like & getrecommendations! Published in 2017 at "Applied Economics"
DOI: 10.1080/00036846.2017.1282143
Abstract: ABSTRACT As downside risk has been identified as a separate risk exposure to investors, we investigate whether downside beta and co-skewness exposure impact on the return to investors in Australian equities. Although considered as a… read more here.
Keywords: downside; asset pricing; pricing downside; downside risk ... See more keywords
The effect of the 2007 ethanol mandate on downside risk in agriculture: evidence from Kansas farmers
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DOI: 10.1080/13504851.2018.1489495
Abstract: ABSTRACT The Energy Independence and Security Act of 2007 increased the amount of corn ethanol that must be blended into motor vehicle and other fuels as part of the renewable fuel standard. The purpose of… read more here.
Keywords: 2007 ethanol; downside; downside risk; effect 2007 ... See more keywords
Examining significance of “downside beta” as a measure of risk – evidence from Indian equity market
Sign Up to like & getrecommendations! Published in 2023 at "International Journal of Emerging Markets"
DOI: 10.1108/ijoem-01-2021-0026
Abstract: PurposeMany studies have shown that from a theoretical and empirical point of view, downside risk-based measures of risk are better than the traditional ones. Despite academic appeal and practical implications, downside risk has not been… read more here.
Keywords: downside beta; indian equity; beta; downside ... See more keywords