Semivariance decomposition of country-level returns
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- 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.
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KeywordsD-CAPM Downside risk Semivariance decomposition Systematic risk;
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