Advanced Search
MyIDEAS: Login

An alternative perspective on the relationship between downside beta and CAPM beta

Contents:

Author Info

  • Galagedera, Don U.A.

Abstract

No abstract is available for this item.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.sciencedirect.com/science/article/B6W69-4MM7TCC-1/2/bd1e8dab978caa5924660fb216fc1f1d
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Elsevier in its journal Emerging Markets Review.

Volume (Year): 8 (2007)
Issue (Month): 1 (March)
Pages: 4-19

as in new window
Handle: RePEc:eee:ememar:v:8:y:2007:i:1:p:4-19

Contact details of provider:
Web page: http://www.elsevier.com/locate/inca/620356

Related research

Keywords:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Hwang, S. & Satchell, S. E., 1998. "Modelling Emerging Market Risk Premia using Higher Moments," Cambridge Working Papers in Economics 9806, Faculty of Economics, University of Cambridge.
  2. Hogan, William W. & Warren, James M., 1974. "Toward the Development of an Equilibrium Capital-Market Model Based on Semivariance," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(01), pages 1-11, January.
  3. Bawa, Vijay S. & Lindenberg, Eric B., 1977. "Abstract: Capital Market Equilibrium in a Mean-Lower Partial Moment Framework," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(04), pages 635-635, November.
  4. Nantell, Timothy J. & Price, Barbara, 1979. "An Analytical Comparison of Variance and Semivariance Capital Market Theories," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(02), pages 221-242, June.
  5. Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 3-56, February.
  6. Campbell R. Harvey, 1994. "Predictable Risk and Returns in Emerging Markets," NBER Working Papers 4621, National Bureau of Economic Research, Inc.
  7. Price, Kelly & Price, Barbara & Nantell, Timothy J, 1982. " Variance and Lower Partial Moment Measures of Systematic Risk: Some Analytical and Empirical Results," Journal of Finance, American Finance Association, vol. 37(3), pages 843-55, June.
  8. Bawa, Vijay S. & Lindenberg, Eric B., 1977. "Capital market equilibrium in a mean-lower partial moment framework," Journal of Financial Economics, Elsevier, vol. 5(2), pages 189-200, November.
  9. Harlow, W. V. & Rao, Ramesh K. S., 1989. "Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(03), pages 285-311, September.
  10. Susmel, Raul, 2001. "Extreme observations and diversification in Latin American emerging equity markets," Journal of International Money and Finance, Elsevier, vol. 20(7), pages 971-986, December.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Maarten van Oordt & Chen Zhou, 2011. "Systematic risk under extremely adverse market condition," DNB Working Papers 281, Netherlands Central Bank, Research Department.
  2. Tsai, Hsiu-Jung & Chen, Ming-Chi & Yang, Chih-Yuan, 2014. "A time-varying perspective on the CAPM and downside betas," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 440-454.
  3. Beach, Steven L., 2011. "Semivariance decomposition of country-level returns," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 607-623, October.
  4. Grandes, Martin & Panigo, Demian T. & Pasquini, Ricardo A., 2010. "On the estimation of the cost of equity in Latin America," Emerging Markets Review, Elsevier, vol. 11(4), pages 373-389, December.
  5. Maria PASCU-NEDELCU, 2011. "Gaps Identified In Econometric Models For Cost Of Capital Estimation Already Built," Journal of Doctoral Research in Economics, The Bucharest University of Economic Studies, vol. 3(2), pages 49-58, June.
  6. Brandouy, Olivier & Kerstens, Kristiaan & Van de Woestyne, Ignace, 2009. "Exploring Bi-Criteria versus Multi-Dimensional Lower Partial Moment Portfolio Models," Working Papers 2009/29, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:eee:ememar:v:8:y:2007:i:1:p:4-19. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.