Economic Significance of Downside Risk in Developed and Emerging Markets
10 Pages Posted: 7 Oct 2006
Date Written: October 6, 2006
Abstract
This study examines in the cross-section the association between excess return and systematic risk measured in the downside framework. Two measures of risk in the downside namely downside beta and downside co-skewness are investigated. Both these measures perform poorly in developed markets whereas in emerging markets there is evidence to suggest that downside co-skewness may be a better of risk compared to the CAPM beta and downside beta.
Keywords: Economic significance, downside beta, downside co-skewness, emerging markets, developed markets
JEL Classification: F30, G12, G15
Suggested Citation: Suggested Citation
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