Search Results - subject:"Semi‐variance"

Optimal Monetary Policy with Asymmetric Targets

Stemp, Peter J. - Department of Econometrics and Business Statistics, … - 2009

We investigate the derivation of optimal interest rate rules in a simple stochastic framework. The monetary authority chooses to minimise an asymmetric loss function made up of the sum of squared components, where the monetary authority places positive weight on squared negative (positive)...

Persistent link: https://www.econbiz.de/10008492299

Optimal Interest Rate Rules Under One-Sided Output and Inflation Targets

Stemp, Peter J. - Department of Econometrics and Business Statistics, … - 2009

We investigate the derivation of optimal interest rate rules in a simple stochastic framework. The monetary authority chooses to minimise an asymmetric loss function, where the monetary authority places positive weight on negative (positive) deviations of output (inflation) and zero weight on...

Persistent link: https://www.econbiz.de/10008492315

Sorting out Downside Beta

Post, G.T.; Vliet, P. van; Lansdorp, S.D. - Erasmus Research Institute of Management (ERIM), ERIM … - 2009

Downside risk, when properly defined and estimated, helps to explain the cross-section of US stock returns. Sorting stocks by a proper estimate of downside market beta leads to a substantially larger cross-sectional spread in average returns than sorting on regular market beta. This result...

Persistent link: https://www.econbiz.de/10005288732

D-CAPM: EMPIRICAL RESULTS ON THE BUCHAREST STOCK EXCHANGE

Todea, Alexandru; Tulai, Horia; Pleşoianu, Anita - In: Theoretical and Applied Economics 12(541)(supplement) (2009) 12(541)(supplement), pp. 632-639

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...

Persistent link: https://www.econbiz.de/10008675971

Using downside risk in evaluating the performance of Malaysian mutual funds

Tavakoli Baghdadabad, Mohammad Reza; Fooladi, Masood - In: International Journal of Emerging Markets 10 (2015) 3, pp. 427-447

Purpose – The purpose of this paper is to provide the modified measures of risk-adjusted performance evaluation of Malaysian mutual funds using the downside risk concepts, and promote the ability of managers and investors in making logical decisions under the market asymmetry condition....

Persistent link: https://www.econbiz.de/10014788790

Using downside risk in evaluating the performance of Malaysian mutual funds

Tavakoli Baghdadabad, Mohammad Reza; Fooladi, Masood - In: International journal of emerging markets 10 (2015) 3, pp. 427-447

Persistent link: https://www.econbiz.de/10011489274

The influence of profitability ratios and company size on profitability and investment risk in the capital market

Rutkowska-Ziarko, Anna - In: Folia oeconomica Stetinensia : FOS 15 (2015) 1, pp. 151-161

Persistent link: https://www.econbiz.de/10011625524

The risk perceptions of individual investors

Veld, Chris; Veld-Merkoulova, Yulia - 2008

measure, semi-variance of returns is most popular. Semi-variance is similar to variance, but only negative deviations fro the … mean or another benchmark are taken into account. Stock investors implicitly choose for semi-variance as a risk measure …

Persistent link: https://www.econbiz.de/10009465893

Evaluation du Risque d’un Echantillon de Valeurs Mobilières de la Bourse de Casablanca

Abderrazik, Amal; Boutkardine, Mehdi; Bahi, El; Houda, … - Volkswirtschaftliche Fakultät, … - 2008

set of evaluation methods (for example: the semi-variance for equity risk, the convexity degrees for risk associated with …

Persistent link: https://www.econbiz.de/10008776864

An extensile method on the arbitrage pricing theory based on downside risk (D-APT)

Reza Tavakoli Baghdadabad, Mohammad; Glabadanidis, Paskalis - In: International Journal of Managerial Finance 10 (2014) 1, pp. 54-72

, downside APT (D-APT) using the concepts of factors’ downside beta and semi-variance. Design/methodology/approach – This study … two deficient measures of factor's beta and variance with more efficient measures of factors’ downside betas and semi-variance … the concepts of semi-variance and downside beta in the conventional APT model to propose a new model, namely, the D-APT. …

Persistent link: https://www.econbiz.de/10014785727