Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
968048 | Journal of Multinational Financial Management | 2007 | 17 Pages |
Abstract
We define three measure of systematic co-skewness risk in a downside framework by extending three downside beta risk measures in the literature. In pricing models in a downside framework it may be sufficient to include a risk measure that accounts for co-semi-variance or co-semi-skewness and not both. Downside risk is appropriate when returns distribution is skewed—a common feature in emerging markets. A cross-sectional analysis provides evidence that downside co-skewness is a better explanatory variable of emerging market monthly returns than downside beta. Our conclusions remain largely unchanged when the analysis is subjected to various robustness checks.
Related Topics
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Economics and Econometrics
Authors
Don U.A. Galagedera, Robert D. Brooks,