کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5084330 | 1477840 | 2007 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Mean-semivariance behavior: Downside risk and capital asset pricing
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
For over 30 years academics and practitioners have been debating the merits of the CAPM. One of the characteristics of this model is that it measures risk by beta, which follows from an equilibrium in which investors display mean-variance behavior. In that framework, risk is assessed by the variance of returns, a questionable and restrictive measure of risk. The semivariance of returns is a more plausible measure of risk and can be used to generate an alternative behavioral hypothesis, mean-semivariance behavior; an alternative measure of risk for diversified investors, the downside beta; and an alternative pricing model based on this downside beta. The empirical evidence discussed in this article for the entire MSCI database of developed and emerging markets clearly supports the downside beta and the pricing model based on it over beta and the CAPM.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Economics & Finance - Volume 16, Issue 2, 2007, Pages 169-185
Journal: International Review of Economics & Finance - Volume 16, Issue 2, 2007, Pages 169-185
نویسندگان
Javier Estrada,