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Citations for "Downside Risk"

by Andrew Ang & Joseph Chen & Yuhang Xing

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  1. Bo-Young Chang & Peter Christoffersen & Kris Jacobs & Gregory Vainberg, 2009. "Option-Implied Measures of Equity Risk," CIRANO Working Papers 2009s-33, CIRANO.
  2. Germán López-Espinosa & Antonio Moreno & Antonio Rubia & Laura Valderrama, 2012. "Short-term Wholesale Funding and Systemic Risk: A Global CoVaR Approach," Faculty Working Papers 02/12, School of Economics and Business Administration, University of Navarra.
  3. Hanno Lustig & Stijn Van Nieuwerburg & Adrien Verdelhan, 2007. "The Wealth-Consumption Ratio: A Litmus Test for Consumption-based Asset Pricing Models¤," Boston University - Department of Economics - Working Papers Series WP2007-030, Boston University - Department of Economics.
  4. Hwang, Soosung & Rubesam, Alexandre, 2013. "A behavioral explanation of the value anomaly based on time-varying return reversals," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2367-2377.
  5. Ole E. Barndorff-Nielsen & Silja Kinnebrock & Neil Shephard, 2008. "Measuring downside risk - realised semivariance," OFRC Working Papers Series 2008fe01, Oxford Financial Research Centre.
  6. Martin Lettau & Matteo Maggiori & Michael Weber, 2013. "Conditional Risk Premia in Currency Markets and Other Asset Classes," NBER Working Papers 18844, National Bureau of Economic Research, Inc.
  7. Sévi, Benoît, 2014. "Forecasting the volatility of crude oil futures using intraday data," European Journal of Operational Research, Elsevier, vol. 235(3), pages 643-659.
  8. 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.
  9. DiTraglia, Francis J. & Gerlach, Jeffrey R., 2013. "Portfolio selection: An extreme value approach," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 305-323.
  10. repec:dgr:uvatin:2010082 is not listed on IDEAS
  11. Silvia Muzzioli, 2011. "Corridor implied volatility and the variance risk premium in the Italian market," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 11112, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi".
  12. Botshekan, Mahmoud & Kräussl, Roman & Lucas, André, 2010. "Cash flow and discount rate risk in up and down markets: What is actually priced?," CFS Working Paper Series 2010/20, Center for Financial Studies (CFS).
  13. Fiordelisi, Franco & Meles, Antonio & Monferrà, Stefano & Starita, Maria Grazia, 2013. "Personal vs. Corporate Goals: Why do Insurance Companies Manage Loss Reserves?," MPRA Paper 47867, University Library of Munich, Germany.
  14. Massimo Guidolin & Giovanna Nicodano, 2005. "Small Caps in International Equity Portfolios: The Effects of Variance Risk," CeRP Working Papers 41, Center for Research on Pensions and Welfare Policies, Turin (Italy).
  15. Sévi, Benoît, 2013. "An empirical analysis of the downside risk-return trade-off at daily frequency," Economic Modelling, Elsevier, vol. 31(C), pages 189-197.
  16. René Garcia & Georges Tsafack, 2009. "Dependence Structure and Extreme Comovements in International Equity and Bond Markets," CIRANO Working Papers 2009s-21, CIRANO.
  17. Massimo Guidolin & Stuart Hyde, 2010. "Can VAR models capture regime shifts in asset returns? a long-horizon strategic asset allocation perspective," Working Papers 2010-002, Federal Reserve Bank of St. Louis.
  18. Andrew Ang & Dennis Kristensen, 2011. "Testing Conditional Factor Models," NBER Working Papers 17561, National Bureau of Economic Research, Inc.
  19. Syed Abul, Basher & Salem, Nechi & Hui, Zhu, 2014. "Dependence patterns across Gulf Arab stock markets: a copula approach," MPRA Paper 56566, University Library of Munich, Germany.
  20. Kraeussl, Roman & Logher, Robin, 2010. "Emerging art markets," Emerging Markets Review, Elsevier, vol. 11(4), pages 301-318, December.
  21. Patton, Andrew J. & Timmermann, Allan, 2010. "Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts," Journal of Financial Economics, Elsevier, vol. 98(3), pages 605-625, December.
  22. Kräussl, Roman & Elsland, Niels van, 2008. "Constructing the true art market index: A novel 2-step hedonic approach and its application to the German art market," CFS Working Paper Series 2008/11, Center for Financial Studies (CFS).
  23. Anthonisz, Sean A., 2012. "Asset pricing with partial-moments," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2122-2135.
  24. Zhang, Xiang, 2014. "Reference-dependent electric vehicle production strategy considering subsidies and consumer trade-offs," Energy Policy, Elsevier, vol. 67(C), pages 422-430.
  25. Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2012. "Extreme Downside Liquidity Risk," Working Papers on Finance 1326, University of St. Gallen, School of Finance, revised Nov 2013.
  26. Driessen, Joost & Maenhout, Pascal, 2013. "The world price of jump and volatility risk," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 518-536.
  27. Galsband, Victoria, 2012. "Downside risk of international stock returns," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2379-2388.
  28. Olmo, J., 2007. "An asset pricing model for mean-variance-downside-risk averse investors," Working Papers 07/01, Department of Economics, City University London.
  29. Patricia Chelley-Steeley & Antonios Siganos, 2005. "Momentum Profits in Alternative Stock Market Structures," Money Macro and Finance (MMF) Research Group Conference 2005 63, Money Macro and Finance Research Group.
  30. Ruenzi, Stefan & Weigert, Florian, 2011. "Crash Sensitivity and the Cross-Section of Expected Stock Returns," Working Papers on Finance 1324, University of St. Gallen, School of Finance, revised Mar 2013.
  31. repec:dgr:uvatin:2010116 is not listed on IDEAS
  32. Robert Merrin & Arvid Hoffmann & Joost Pennings, 2013. "Customer satisfaction as a buffer against sentimental stock-price corrections," Marketing Letters, Springer, vol. 24(1), pages 13-27, March.
  33. Daouk, Hazem & Ng, David T.C., 2009. "Is Unlevered Firm Volatility Asymmetric?," Working Papers 51182, Cornell University, Department of Applied Economics and Management.
  34. Massimo Guidolin & Giovanna Nicodano, 2007. "Managing international portfolios with small capitalization stocks," Working Papers 2007-030, Federal Reserve Bank of St. Louis.
  35. Hayat, Raphie & Kraeussl, Roman, 2011. "Risk and return characteristics of Islamic equity funds," Emerging Markets Review, Elsevier, vol. 12(2), pages 189-203, June.
  36. Kizys, Renatas & Pierdzioch, Christian, 2011. "The changing sensitivity of realized portfolio betas to U.S. output growth: An analysis based on real-time data," Journal of Economics and Business, Elsevier, vol. 63(3), pages 168-186, May.
  37. Fernando D. Chague, 2013. "Conditional Betas and Investor Uncertainty," Working Papers, Department of Economics 2013_04, University of São Paulo (FEA-USP).
  38. Herings,P. Jean-Jacques & Kubler,Felix, 2003. "Approximate CAPM When Preferences Are CRRA," Research Memorandum 064, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  39. Huang, Wei & Liu, Qianqiu & Ghon Rhee, S. & Wu, Feng, 2012. "Extreme downside risk and expected stock returns," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1492-1502.
  40. Adam-Müller, Axel F.A. & Nolte, Ingmar, 2011. "Cross hedging under multiplicative basis risk," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2956-2964, November.
  41. Huffman, Stephen P. & Moll, Cliff R., 2013. "An examination of the relation between asymmetric risk measures, prior returns and expected daily stock returns," Review of Financial Economics, Elsevier, vol. 22(1), pages 8-19.
  42. Dirk G Baur & Thomas Dimpfl, 2012. "State-dependent Momentum in International Stock Markets," Working Paper Series 169, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  43. Weigert, Florian, 2012. "In Search of Cushion? Crash Aversion and the Cross-Section of Expected Stock Returns Worldwide," Working Papers on Finance 1325, University of St. Gallen, School of Finance, revised Mar 2013.
  44. Galariotis, Emilios C., 2010. "What should we know about momentum investing? The case of the Australian Security Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 18(4), pages 369-389, September.
  45. Low, Rand Kwong Yew & Alcock, Jamie & Faff, Robert & Brailsford, Timothy, 2013. "Canonical vine copulas in the context of modern portfolio management: Are they worth it?," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3085-3099.
  46. Alexander, Gordon J. & Baptista, Alexandre M., 2009. "Stress testing by financial intermediaries: Implications for portfolio selection and asset pricing," Journal of Financial Intermediation, Elsevier, vol. 18(1), pages 65-92, January.
  47. Ceylan, Ozcan, 2012. "Time-Varying Volatility Asymmetry: A Conditioned HAR-RV(CJ) EGARCH-M Model," GIAM Working Papers 12-4, Galatasaray University Economic Research Center.
  48. Boguth, Oliver & Carlson, Murray & Fisher, Adlai & Simutin, Mikhail, 2011. "Conditional risk and performance evaluation: Volatility timing, overconditioning, and new estimates of momentum alphas," Journal of Financial Economics, Elsevier, vol. 102(2), pages 363-389.
  49. Peter Christoffersen & Hugues Langlois, 2011. "The Joint Dynamics of Equity Market Factors," CREATES Research Papers 2011-45, School of Economics and Management, University of Aarhus.
  50. Cumova, Denisa & Nawrocki, David, 2011. "A symmetric LPM model for heuristic mean-semivariance analysis," Journal of Economics and Business, Elsevier, vol. 63(3), pages 217-236, May.
  51. Kole, H.J.W.G. & van Dijk, D.J.C., 2013. "How to Identify and Forecast Bull and Bear Markets?," ERIM Report Series Research in Management ERS-2013-016-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.
  52. Alles, Lakshman & Murray, Louis, 2013. "Rewards for downside risk in Asian markets," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2501-2509.
  53. Zhu, Hui-Ming & Li, Rong & Li, Sufang, 2014. "Modelling dynamic dependence between crude oil prices and Asia-Pacific stock market returns," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 208-223.
  54. Menkhoff, Lukas & Schmeling, Maik, 2006. "A prospect-theoretical interpretation of momentum returns," Economics Letters, Elsevier, vol. 93(3), pages 360-366, December.
  55. Demirer, Rıza & Jategaonkar, Shrikant P., 2013. "The conditional relation between dispersion and return," Review of Financial Economics, Elsevier, vol. 22(3), pages 125-134.
  56. Krishnan, C.N.V. & Petkova, Ralitsa & Ritchken, Peter, 2009. "Correlation risk," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 353-367, June.
  57. Silvia Muzzioli, 2013. "The Forecasting Performance of Corridor Implied Volatility in the Italian Market," Computational Economics, Society for Computational Economics, vol. 41(3), pages 359-386, March.
  58. Beach, Steven L., 2011. "Semivariance decomposition of country-level returns," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 607-623, October.
  59. Cooper, Michael J. & Gubellini, Stefano, 2011. "The critical role of conditioning information in determining if value is really riskier than growth," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 289-305, March.
  60. Bebchuk, Lucian A. & Cohen, Alma & Wang, Charles C.Y., 2013. "Learning and the disappearing association between governance and returns," Journal of Financial Economics, Elsevier, vol. 108(2), pages 323-348.
  61. Boubaker, Heni & Sghaier, Nadia, 2013. "Portfolio optimization in the presence of dependent financial returns with long memory: A copula based approach," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 361-377.
  62. Fuller, Kathleen P. & Goldstein, Michael A., 2011. "Do dividends matter more in declining markets?," Journal of Corporate Finance, Elsevier, vol. 17(3), pages 457-473, June.
  63. Gemmill, Gordon & Keswani, Aneel, 2011. "Downside risk and the size of credit spreads," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2021-2036, August.