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The vitality of beta in the ASEAN stock markets

Aumeboonsuke, Vesarach - In: Investment management and financial innovations 11 (2014) 3, pp. 81-86

Persistent link: https://www.econbiz.de/10010512180

Intertemporal risk-return tradeoff in the short-run

Marks, Joseph M.; Nam, Kiseok - In: Economics letters 172 (2018), pp. 81-84

Persistent link: https://www.econbiz.de/10012022059

Conditional Downside Risk and the CAPM

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...

Persistent link: https://www.econbiz.de/10010837607

Forward-Looking Beta Estimates:Evidence from an Emerging Market

Onour, Ibrahim - Volkswirtschaftliche Fakultät, … - 2008

Results in this paper support evidence of time-varying beta coefficients for five sectors in Kuwait Stock Market. The paper indicates banks, food, and service sectors exhibit relatively wider range of variation compared to industry and real estate sectors. Results of time-varying betas...

Persistent link: https://www.econbiz.de/10004961496

Conditional Downside Risk and the CAPM

Post, G.T.; Vliet, P. van - Erasmus Research Institute of Management (ERIM), ERIM … - 2004

Persistent link: https://www.econbiz.de/10005288550

A closed-form mean-variance-skewness portfolio strategy

Zhen, Fang; Chen, Jingnan - In: Finance research letters 47 (2022) 2, pp. 1-10

Persistent link: https://www.econbiz.de/10013553596

Strategic asset valuation and higher stochastic moments : an adjusted black-scholes model

Milanesi, Gastón; Pesce, Gabriela; El Alabi, Emilio - In: Journal of contemporary management : JMC 4 (2015) 3, pp. 95-106

Persistent link: https://www.econbiz.de/10011392906

The risk-return relationship and volatility feedback in South Africa : a comparative analysis of the parametric and nonparametric Bayesian approach

Dwarika, Nitesha - In: Quantitative finance and economics 7 (2023) 1, pp. 119-146

Persistent link: https://www.econbiz.de/10014279147

Persistence of jump-induced tail risk and limits to arbitrage

Chow, K. Victor; John, Kose; Li, Jingrui; Sopranzetti, … - In: Quantitative finance 23 (2023) 4, pp. 705-719

Persistent link: https://www.econbiz.de/10014304321

The effect of economic, financial and political country risk factors on the JSE mining index : an ARDL approach

Muzindutsi, Paul-Francois; Rajhununan, Swastika; Dube, … - In: International journal of trade and global markets 15 (2022) 1, pp. 22-31

Persistent link: https://www.econbiz.de/10012887872