Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5089253 | Journal of Banking & Finance | 2013 | 9 Pages |
Abstract
⺠We investigate if downside risk measures explain asset prices in emerging Asian markets. ⺠We separately examine conditional returns in upturn and downturn periods. ⺠Results indicate that co-skewness and downside beta are priced by investors. ⺠When combined with other risk measures, both retain explanatory power. ⺠We also investigate interrelationships between individual risk measures.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Lakshman Alles, Louis Murray,