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