Atilgan, Yigit; Demirtas, K. Ozgur - In: Emerging Markets Finance and Trade 49 (2013) 3, pp. 65-83
This paper investigates the relation between downside risk and expected returns on the aggregate stock market in an international context. Nonparametric and parametric value at risk are used as measures of downside risk to determine the existence of a risk-return trade-off. For emerging markets,...