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Economic significance of downside risk in developed and emerging markets

Galagedera, Don U. A. - In: Applied economics letters 16 (2009) 16/18, pp. 1627-1632

Persistent link: https://www.econbiz.de/10003932128

Modeling the risk and return relation conditional on markt volatility and market conditions

Galagedera, Don U. A.; Faff, Robert W. - In: International journal of theoretical and applied finance 8 (2005) 1, pp. 75-95

Persistent link: https://www.econbiz.de/10002625219

Modelling the risk and return relation conditional on market volatility and market conditions

Galagedera, Don U. A.; Faff, Robert W. - 2004

Persistent link: https://www.econbiz.de/10002121816

Conditional relation between systematic risk and returns in the conventional and downside frameworks : evidence from the Indonesian market

Nurjannah; Galagedera, Don U. A.; Brooks, Robert - In: Journal of emerging market finance 11 (2012) 3, pp. 271-300

Persistent link: https://www.econbiz.de/10010380791

Relationship between downside risk and return : new evidence through a multiscaling approach

Galagedera, Don U. A.; Maharaj, Elizabeth Ann; Brooks, … - In: Applied financial economics 18 (2008) 18/21, pp. 1623-1633

Persistent link: https://www.econbiz.de/10003800192

Expected Return-Idiosyncratic Risk Relation : An Investigation with Alternative Factor Models

Bainbridge, Carla M. - 2010

In this paper we investigate the relation between idiosyncratic risk and expected return by estimating idiosyncratic volatility in different factor models including the downside and upside market models. In the analysis with portfolios, our results suggest an inverse relation between...

Persistent link: https://www.econbiz.de/10013151635