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Showing 1 to 2 of 2 for “"downside beta"”.
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A Treatise on Downside Risk
… foundation for the estimation of systematic downside risk. Using a new approach, I derive a measure of downside systematic risk, downside beta, that is free of the endogeneity problem and thus straightforward to calculate. Since there is no consensus in the literature regarding the …
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ESSAYS ON EMPIRICAL ASSET PRICING USING BAYESIAN METHODS
… and using alternative risk measures such as downside beta and higher moments. Our results provide little or no evidence that value is riskier than growth, and that evidence is specific to pre-1963 period (including the Great Depression). Within the post-1963 sample, there are periods when the …