Vliet, Pim van; Post, Post, G.T. - Erasmus Research Institute of Management (ERIM), … - 2004
The mean-semivariance CAPM strongly outperforms the traditional mean-variance CAPM in terms of its ability to explain the cross-section of US stock returns. If regular beta is replaced by downside beta, the traditional risk-return relationship is restored. The downside betas of low-beta stocks...
