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Traditional beta, downside risk beta and market risk premiums

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  • Kaplanski, Guy

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  • Kaplanski, Guy, 2004. "Traditional beta, downside risk beta and market risk premiums," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(5), pages 636-653, December.
    • Handle: RePEc:eee:quaeco:v:44:y:2004:i:5:p:636-653
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    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. Harris, Richard & Stoja, Evarist & Nguyen, Linh, 2016. "Systematic tail risk," Bank of England working papers 637, Bank of England.
    4. Peter Xu & Rich Pettit, 2014. "No-arbitrage conditions and expected returns when assets have different β’s in up and down markets," Journal of Asset Management, Palgrave Macmillan, vol. 15(1), pages 62-71, February.
    5. Miralles Marcelo, José Luis & Miralles Quirós, María Del Mar & Miralles Quirós, José Luis., 2007. "Análisis Media-semivarianza: Una Aplicación A Las Primas De Riesgo En El Mercado De Valores Español/Mean-semivariance Analysis: An Application To Risk Premiums In The Spanish Stock Market," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 25, pages 199-214, Abril.

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