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Is co-skewness a better measure of risk in the downside than downside beta?: Evidence in emerging market data

  • Galagedera, Don U.A.
  • Brooks, Robert D.

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File URL: http://www.sciencedirect.com/science/article/B6VGV-4MY0TWT-1/2/658dfae28ed381ea2313813f263e0d6f
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Article provided by Elsevier in its journal Journal of Multinational Financial Management.

Volume (Year): 17 (2007)
Issue (Month): 3 (July)
Pages: 214-230

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Handle: RePEc:eee:mulfin:v:17:y:2007:i:3:p:214-230
Contact details of provider: Web page: http://www.elsevier.com/locate/mulfin

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  1. Ravi Jagnnathan & Ellen R. McGrattan, 1995. "The CAPM debate," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall, pages 2-17.
  2. Post, Thierry & van Vliet, Pim, 2006. "Downside risk and asset pricing," Journal of Banking & Finance, Elsevier, vol. 30(3), pages 823-849, March.
  3. 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.
  4. Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 3-56, February.
  5. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-36, May-June.
  6. Campbell R. Harvey & Akhtar Siddique, 2000. "Conditional Skewness in Asset Pricing Tests," Journal of Finance, American Finance Association, vol. 55(3), pages 1263-1295, 06.
  7. Jahankhani, Ali, 1976. "E-V and E-S Capital Asset Pricing Models: Some Empirical Tests," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 11(04), pages 513-528, November.
  8. Geert Bekaert & Campbell R. Harvey, 1997. "Foreign Speculators and Emerging Equity Markets," NBER Working Papers 6312, National Bureau of Economic Research, Inc.
  9. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, 09.
  10. Jorion, Philippe & Schwartz, Eduardo, 1986. " Integration vs. Segmentation in the Canadian Stock Market," Journal of Finance, American Finance Association, vol. 41(3), pages 603-14, July.
  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(02), pages 221-242, June.
  12. Estrada, Javier & Serra, Ana Paula, 2005. "Risk and return in emerging markets: Family matters," Journal of Multinational Financial Management, Elsevier, vol. 15(3), pages 257-272, July.
  13. 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.
  14. Harvey, Campbell R, 1995. "Predictable Risk and Returns in Emerging Markets," Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 773-816.
  15. Adcock, C.J. & Shutes, K., 2005. "An analysis of skewness and skewness persistence in three emerging markets," Emerging Markets Review, Elsevier, vol. 6(4), pages 396-418, December.
  16. 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(04), pages 635-635, November.
  17. Don U.A. Galagedera & Robert Faff, 2004. "Modelling the Risk and Return Relation Conditional on Market Volatility and Market Conditions," Monash Econometrics and Business Statistics Working Papers 8/04, Monash University, Department of Econometrics and Business Statistics.
  18. 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.
  19. 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(03), pages 285-311, September.
  20. Hwang, Soosung & Pedersen, Christian S., 2004. "Asymmetric risk measures when modelling emerging markets equities: evidence for regional and timing effects," Emerging Markets Review, Elsevier, vol. 5(1), pages 109-128, March.
  21. Smith, Daniel R., 2007. "Conditional coskewness and asset pricing," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 91-119, January.
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