We argue that long-horizon return reversals [Debondt and Thaler (1985)] reflect a premium for downside risk. Consistent with this, we find that downside betas of past losers are significantly greater than downside betas of past winners, and the inclusion of downside beta in Fama-Macbeth...

This paper discusses the appropriate methodology for the estimation of systematic downside risk. I find that the Hogan & Warren (1974) approach is the only one of several specifications of downside beta, that is consistent with both the original downside risk framework, as defined by Markowitz...