"Liability-Driven Investment with Downside Risk" in the Journal of Portfolio Management Fall 2013, Vol. 40, No. 1: pp. 71-87 …

estimation and interpretation of standard risk and return measures. These complications have led to substantial disparity in …

place greater weight on downside risk demand additional compensation for holding stocks with high sensitivities to downside … market movements. We show that the cross-section of stock returns reflects a premium for downside risk. Specifically, stocks … that covary strongly with the market when the market declines have high average returns. We estimate that the downside risk …

Stocks with greater downside risk, which is measured by higher correlations conditional on downside moves of the market … of return on stocks with the greatest downside risk exceeds the average rate of return on stocks with the least downside … risk by 6.55% per annum. Downside risk is important for explaining the cross-section of expected returns. In particular of …