Search Results - subject:"downside Beta"

Market and accounting measures of risk: The case of the Frankfurt stock exchange

Rutkowska-Ziarko, Anna - In: Risks 10 (2022) 1, pp. 1-17

The main purpose of this study was to explore the relationship between market and accounting measures of risk and the profitability of companies listed on the Frankfurt Stock Exchange. An important aspect of the study was to employ accounting beta coefficients as a systematic risk measure. The...

Persistent link: https://www.econbiz.de/10013200905

Market and accounting measures of risk : the case of the Frankfurt stock exchange

Rutkowska-Ziarko, Anna - In: Risks : open access journal 10 (2022) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10012805424

Does momentum trading generate extra downside risk?

Dobrynskaja, V. V. - In: The Quarterly Journal of Finance : QJF 12 (2022) 2, pp. 1-32

Persistent link: https://www.econbiz.de/10013367660

A remark on mean-semivariance behaviour : downside risk and capital asset pricing

Venkataraman, Sree Vinutha - In: International journal of finance & economics : IJFE 28 (2023) 3, pp. 2683-2695

Persistent link: https://www.econbiz.de/10014327577

Conditional skewness in asset pricing : 25 years of out-of-sample evidence

Harvey, Campbell R.; Siddique, Akhtar R. - In: Critical finance review 12 (2023) 1/4, pp. 355-366

Persistent link: https://www.econbiz.de/10014370380

Comparative analyses of mean-variance and mean-semivariance approaches on global and local single factor market model for developed and emerging markets

Yildiz, Mehmet Emin; Erzurumlu, Yaman; Kurtulus, Bora - In: International journal of emerging markets 17 (2022) 1, pp. 325-350

Persistent link: https://www.econbiz.de/10012886374

Conventional and downside CAPM : the case of London stock exchange

Rutkowska-Ziarko, Anna; Markowski, Lesław; Pyke, … - In: Global finance journal 54 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013469865

Asymmetric jump beta estimation with implications forportfolio risk management

Alexeev, Vitali; Urga, Giovanni; Yao, Wenying - 2017

Persistent link: https://www.econbiz.de/10012806610

Revisiting the CAPM model with quantile regression : creating investment strategies on the Zagreb Stock Exchange

Škrinjarić, Tihana; Slišković, Marina - In: International journal of economics and business … 19 (2020) 3, pp. 266-289

Persistent link: https://www.econbiz.de/10012205614

On the systematic downside risk measure : a note

Jan, Yin-Ching - In: International journal of financial research 7 (2016) 5, pp. 51-55

Persistent link: https://www.econbiz.de/10011579743