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D-Capm: Empirical Results On The Bucharest Stock Exchange

Author

Listed:
  • Alexandru Todea

    (Babes Boliay University, Cluj-Napoca)

  • Horia Tulai

    (Babes Boliay University, Cluj-Napoca)

  • Anita Pleşoianu

    (Babes Boliay University, Cluj-Napoca)

Abstract

The downside capital asset pricing model measures the downside beta of risk and is proposed by Estrada (2002) as an alternative to the capital asset pricing model to measure the risk of emerging market investments. The basis for this argument is that investors are not particularly worrisome of upside risk, while downside risk is always a problem. This article attempts to test the validity of D-CAPM in the case of Bucharest Stock Exchange. Research findings indicate no meaningful relationship between downside beta coefficients and ex-post risk premiums of the selected stocks, except the period of crisis.

Suggested Citation

  • Alexandru Todea & Horia Tulai & Anita Pleşoianu, 2009. "D-Capm: Empirical Results On The Bucharest Stock Exchange," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 12(12(541)(s), pages 632-639, December.
  • Handle: RePEc:agr:journl:v:12(541)(supplement):y:2009:i:12(541)(supplement):p:632-639
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    Keywords

    downside risk; asset pricing; beta; semi-variance.;

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