This paper investigates whether the risk-return relation varies, depending on changing market volatility and up/down market conditions. Three market regimes based on the level of conditional volatility of market returns are specified — "low", "neutral" and "high". The market model is extended...

The difference between systematic risk measured in terms of the third-order and second-order co-moment of returns in the downside framework is influenced by a factor associated with the market portfolio returns. Empirical evidence reveals that the smaller the spread in the returns in the market...

Even though investors' view of risk is generally regarded as related to the downside of the return distribution the CAPM beta is still a widely used measure of systematic risk. A number of studies compare the empirical performance of CAPM beta and downside beta in explaining the variation in...