Rashid, Abdul; Hamid, Faiza - In: Managerial Finance 41 (2015) 9, pp. 940-957
Purpose – The purpose of this paper is to analyze the mean-variance capital asset pricing model (CAPM) and downside risk-based CAPM (DR-CAPM) developed by Bawa and Lindenberg (1977), Harlow and Rao (1989), and Estrada (2002) to assess which downside beta better explains expected stock returns....