This study examines in the cross-section the association between excess return and systematic risk measured in the downside framework. Two measures of risk in the downside; downside beta and downside co-skewness are investigated. Both downside risk measures perform poorly compared to the CAPM beta...

The study considers the ADF and KPSS tests for unit root testing in a time series characterized by a number of structural changes in its mean. Using the Monte Carlo simulation method the percentage points of the tests distributions are estimated. These two tests are biased towards non-rejection...