Downside Beta and Equity Returns around the World

The Journal of Portfolio Management, Vol. 44, No. 7

https://doi.org/10.3905/jpm.2018.1.080

Posted: 23 Jun 2016 Last revised: 10 Jul 2019

See all articles by Yigit Atilgan

Yigit Atilgan

Sabanci University

Turan G. Bali

Georgetown University - Robert Emmett McDonough School of Business

K. Ozgur Demirtas

Sabanci University Graduate School of Management

A. Doruk Gunaydin

Sabanci University

Date Written: June 21, 2015

Abstract

We investigate the relation between downside beta and stock returns in a global context using more than 170 million daily return observations. Contrary to the findings in the U.S. equity market, we show that downside beta does not explain the cross-sectional differences in future and contemporaneous returns in an international setting. The results are robust to using different methods to estimate downside beta, omitting the U.S. stocks from the global sample, utilizing alternative global pricing factors, and replicating the analysis for various country groupings. Thus, we overturn the heavily cited finding on the relation between downside beta and equity returns.

Keywords: Downside Risk, Downside Beta, Equity Returns, Asset Pricing, International Finance

JEL Classification: G10, G11, G12

Suggested Citation

Atilgan, Yigit and Bali, Turan G. and Demirtas, K. Ozgur and Gunaydin, A. Doruk, Downside Beta and Equity Returns around the World (June 21, 2015). The Journal of Portfolio Management, Vol. 44, No. 7, https://doi.org/10.3905/jpm.2018.1.080, Available at SSRN: https://ssrn.com/abstract=2798580 or http://dx.doi.org/10.2139/ssrn.2798580

Yigit Atilgan

Sabanci University ( email )

Orta Mahalle Üniversite Caddesi 27
Istanbul, Orhanli, 34956 Tuzla 34956
Turkey

Turan G. Bali

Georgetown University - Robert Emmett McDonough School of Business ( email )

3700 O Street, NW
Washington, DC 20057
United States
(202) 687-5388 (Phone)
(202) 687-4031 (Fax)

HOME PAGE: https://sites.google.com/a/georgetown.edu/turan-bali

K. Ozgur Demirtas (Contact Author)

Sabanci University Graduate School of Management ( email )

Sabanci University, School of Management
Orhanli Tuzla
Orhanlı-Tuzla, Istanbul, 34956
Turkey
(+90) 216-483-9985 (Phone)
(+90) 216-483-9699 (Fax)

A. Doruk Gunaydin

Sabanci University ( email )

School of Management
Orhanli Tuzla
İstanbul, 34956
Turkey

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