Search Results - subject:"Semideviation"

Market and accounting measures of risk: The case of the Frankfurt stock exchange

Rutkowska-Ziarko, Anna - In: Risks 10 (2022) 1, pp. 1-17

The main purpose of this study was to explore the relationship between market and accounting measures of risk and the profitability of companies listed on the Frankfurt Stock Exchange. An important aspect of the study was to employ accounting beta coefficients as a systematic risk measure. The...

Persistent link: https://www.econbiz.de/10013200905

Market and accounting measures of risk : the case of the Frankfurt stock exchange

Rutkowska-Ziarko, Anna - In: Risks : open access journal 10 (2022) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10012805424

Mean-semivariance behavior (II): The D-CAPM

Estrada, Javier - IESE Business School, Universidad de Navarra - 2003

For over 30 years academics and practitioners have been debating the merits of the CAPM. One of the characteristics of this model is that it measures risk by beta, which follows from an equilibrium in which investors display mean-variance behavior. In that framework, risk is assessed by the...

Persistent link: https://www.econbiz.de/10005057472

Mean-semivariance behavior: An alternative behavioral model

Estada, Javier - IESE Business School, Universidad de Navarra - 2003

The most widely-used measure of an asset's risk, beta, stems from an equilibrium in which investors display mean-variance behavior. This behavioral criterion assumes that portfolio risk is measured by the variance (or standard deviation) of returns, which is a questionable measure of risk. The...

Persistent link: https://www.econbiz.de/10005021757

Cost of equity of Internet stocks: A downside risk approach, The

Estrada, Javier - IESE Business School, Universidad de Navarra - 2003

alternative is to estimate the cost of equity based on the semideviation, a well-known and intuitively plausible measure of … downside risk. Complementing evidence reported elsewhere about the ability of the semideviation to explain the cross-section of … semideviation also explains the cross-section of Internet stock returns. …

Persistent link: https://www.econbiz.de/10005021798