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

very important for the risk-return characteristics of the resulting portfolios and their sensitivities to common risk … design elements of low-beta strategies too. If smaller firms are excluded, risk-adjusted returns of low-beta strategies can …

(CAPM) framework. The dynamic of systematic risk across time and frequency is analyzed to investigate stock risk … time-frequency CAPM to perform systematic risk analysis and portfolio allocation. … characteristics. We use a daily panel of French stocks from 2012 to 2022. Results show that varying systematic risk varies in time and …

risk on stocks. The analysis technique used is multiple linear regression. The results showed that the financial … performance did not significantly affect the systematic risk of the company's stock …

risk premium as high as 9.72% on an annual basis, even after controlling for global systematic risk factors. While most … exposed to higher oil beta uncertainty. We show that the risk premium associated with oil beta uncertainty cannot be explained …, which in turn contributes to a risk premium associated with oil beta uncertainty. The findings present a new, behavioral …

The capital asset pricing model has failed to explain the effect of systematic risk (referred to as beta) on actual …

beta risk in emerging stock markets. The results imply that investors interested in hedging inflation in emerging markets … should go beyond individual asset classes and embrace the portfolio optimization concept to reduce inflation risk. Given the …

The CAPM is commonly used for an introduction of the equity cost in practice to calculate the corporate value, which is … composed by the risk-free rate, equity market return and each respective beta. However, there is a fundamental complication … between the risk, cost and return for the equity valuation. In the fixed income investment, the excess risk is basically …