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Asymmetric beta comovement and systematic downside risk

Jondeau, Eric; Zhang, Qunzi - 2014

"Systematic Downside Risk" (SDR) is defined to characterize this asymmetry in the comovement of betas. This indicator negatively …

Persistent link: https://www.econbiz.de/10010442899

Beta risk in the cross-section of equities

Boloorforoosh, Ali; Christoffersen, Peter F.; Fournier, … - 2017

beta co-moves with market variance and the stochastic discount factor (SDF), beta risk is priced, and the expected return … model on equity and option data, we find that beta risk explains expected returns on low- and high-beta stocks, resolving …

Persistent link: https://www.econbiz.de/10011646407

Shifts in beta and the TARP announcement

Phin, Andrew; Prono, Todd; Reeves, Jonathan J.; Saxena, … - In: Finance research letters 47 (2022) 2, pp. 1-6

Persistent link: https://www.econbiz.de/10013553701

How do investors price accrual risk during crises?

Alhenawi, Yasser; Hassan, M. Kabir - In: International journal of finance & economics : IJFE 28 (2023) 4, pp. 4684-4706

Persistent link: https://www.econbiz.de/10014430059

The pricing of the illiquidity factor’s conditional risk with time-varying premium

Amihud, Yakov; Noh, Joonki - In: Journal of financial markets 56 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10013282487

Financing strategies and shareholders' risk in cross border acquisitions in India

Kohli, Reena - In: International journal of commerce and management 25 (2015) 3, pp. 294-308

Persistent link: https://www.econbiz.de/10011446806

Time variation in systematic risk, returns and trading volume : evidence from precious metals mining stocks

Ciner, Cetin - In: International review of financial analysis 41 (2015), pp. 277-283

Persistent link: https://www.econbiz.de/10011508966

Beta matrix and common factors in stock returns

Ahn, Seung Chan; Horenstein, Alex R.; Wang, Na - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 3, pp. 1417-1440

Persistent link: https://www.econbiz.de/10011930424

Arbitrage pricing theory in ergodic markets

Frahm, Gabriel - In: International journal of theoretical and applied finance 21 (2018) 5, pp. 1-28

Persistent link: https://www.econbiz.de/10011903768

Measuring the systematic risk of stocks using the capital asset pricing model

John, Abonongo; J., Ackora-Prah; Boateng, Kwasi - In: Journal of investment and management : JIM 6 (2017) 1, pp. 13-21

Persistent link: https://www.econbiz.de/10011780109