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

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  • Galagedera, Don U.A.

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  • Galagedera, Don U.A., 2007. "An alternative perspective on the relationship between downside beta and CAPM beta," Emerging Markets Review, Elsevier, vol. 8(1), pages 4-19, March.
    • Handle: RePEc:eee:ememar:v:8:y:2007:i:1:p:4-19
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    1. Jensen, Michael C, 1969. "Risk, The Pricing of Capital Assets, and the Evaluation of Investment Portfolios," The Journal of Business, University of Chicago Press, vol. 42(2), pages 167-247, April.
    2. Harvey, Campbell R, 1995. "Predictable Risk and Returns in Emerging Markets," The Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 773-816.
    3. Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 3-56, February.
    4. Hwang, Soosung & Satchell, Stephen E, 1999. "Modelling Emerging Market Risk Premia Using Higher Moments," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 4(4), pages 271-296, October.
    5. 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(4), pages 635-635, November.
    6. 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(1), pages 1-11, January.
    7. Estrada, Javier, 2002. "Systematic risk in emerging markets: the," Emerging Markets Review, Elsevier, vol. 3(4), pages 365-379, December.
    8. 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.
    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(3), pages 285-311, September.
    10. 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.
    11. 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(2), pages 221-242, June.
    12. Christian S. Pedersen & Soosung Hwang, 2007. "Does downside beta matter in asset pricing?," Applied Financial Economics, Taylor & Francis Journals, vol. 17(12), pages 961-978.
    13. 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 843-855, June.
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    Cited by:

    1. Sree Vinutha Venkataraman, 2023. "A remark on mean‐semivariance behaviour: Downside risk and capital asset pricing," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 2683-2695, July.
    2. Ali, Heba & Hegazy, Aya Yasser, 2022. "Dividend policy, risk and the cross-section of stock returns: Evidence from India," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 169-192.
    3. Maarten van Oordt & Chen Zhou, 2011. "Systematic risk under extremely adverse market condition," DNB Working Papers 281, Netherlands Central Bank, Research Department.
    4. 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.
    5. 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.
    6. Lesław Markowski, 2015. "Conditional Volatility Exposures in Asset Pricing in the Downside and Classical Framework," Research in Economics and Business: Central and Eastern Europe, Tallinn School of Economics and Business Administration, Tallinn University of Technology, vol. 7(1).
    7. 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.
    8. Sofiene El Aoud & Frédéric Abergel, 2014. "Calibration of a stock's beta using options prices," Post-Print hal-01006405, HAL.
    9. Liu, Jinjing, 2023. "A novel downside beta and expected stock returns," International Review of Financial Analysis, Elsevier, vol. 85(C).
    10. José Soares Fonseca, 2020. "Portfolio selection in euro area with CAPM and Lower Partial Moments models," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 19(1), pages 49-66, January.
    11. Beach, Steven L., 2011. "Semivariance decomposition of country-level returns," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 607-623, October.
    12. 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.

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