Search Results - subject:"drawdown beta"

AN EMPIRICAL ANALYSIS OF FUNDS' ALTERNATIVE MEASURES IN THE DRAWDOWN RISK MEASURE (DRM) FRAMEWORK

Baghdadabad, Mohammad Reza Tavakoli; Nor, Fauzias Mat; … - In: Journal of Advanced Studies in Finance II (2011) 2, pp. 150-168

), MSR, and FPI. It proposes a new single-factor model to estimate the drawdown beta and alpha in the DRM framework. This … mutual funds. The evidence shows that replacement framework in terms of MDB, the drawdown beta, and the drawdown CAPM can be …

Persistent link: https://www.econbiz.de/10009653261

Evaluation of Malaysian mutual funds in the maximum drawdown risk measure framework

Reza Tavakoli Baghdadabad, Mohammad; Glabadanidis, Paskalis - In: International Journal of Managerial Finance 9 (2013) 3, pp. 247-270

the maximum drawdown beta and alpha in the M‐DRM framework. Findings – The evidence clearly indicates that the replacement … framework in terms of MDB, the maximum drawdown beta, and the maximum drawdown CAPM can be replaced by the conventional …

Persistent link: https://www.econbiz.de/10014785582

Evaluation of Malaysian mutual funds in the maximum drawdown risk measure framework

Baghdadabad, Mohammad Reza Tavakoli; Glabadanidis, Paskalis - In: International Journal of Managerial Finance 9 (2013) June, pp. 247-270

the maximum drawdown beta and alpha in the M-DRM framework. Findings – The evidence clearly indicates that the replacement … framework in terms of MDB, the maximum drawdown beta, and the maximum drawdown CAPM can be replaced by the conventional …

Persistent link: https://www.econbiz.de/10010814595

Average Drawdown Risk and Capital Asset Pricing

Baghdadabad, Mohammad Reza Tavakoli; Glabadanidis, Paskalis - In: Review of Pacific Basin Financial Markets and Policies … 16 (2013) 04, pp. 1350028-1

diversified investors, the average drawdown beta leading to an alternative pricing model based on this beta. Our findings clearly … support the average drawdown beta and the pricing model of average drawdown CAPM versus the conventional beta and CAPM in a …

Persistent link: https://www.econbiz.de/10010723234

Average drawdown risk and capital asset pricing

Tavakoli Baghdadabad, Mohammad Reza; Glabadanidis, Paskalis - In: Review of Pacific Basin financial markets and policies 16 (2013) 4, pp. 1-21

Persistent link: https://www.econbiz.de/10010241626