Asset pricing and downside risk in the Australian share market
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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