A novel downside beta and expected stock returns
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DOI: 10.1016/j.irfa.2022.102455
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More about this item
Keywords
Downside risk; Cross-sectional returns; Prediction; Expected shortfall;All these keywords.
JEL classification:
- C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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