We investigate the relation between downside beta and stock returns in a global context using more than 170 million … daily return observations. Contrary to the findings in the U.S. equity market, we show that downside beta does not explain … to using different methods to estimate downside beta, omitting the U.S. stocks from the global sample, utilizing …

We consider the estimation methods for the rank of a beta matrix corresponding to a multifactor model and study which … estimator to analyze some selected asset pricing models with U.S. stock returns. Our results indicate that the beta matrix from …