This paper estimates time-varying systematic downside risk using a parametric specification (BEKK model) and a nonparametric procedure (rolling window technique). A sample of Malaysian industry portfolio daily returns reveals that the covariance between portfolio excess returns and excess...

Using a data generating process in the mean-variance framework a relationship between CAPM beta and downside beta is derived. The derived relationship reveals that when the target rate exceeds (is lower than) the risk-free rate downside beta is higher (lower) than CAPM beta for low CAPM beta...

In this cross-sectional study, equity market performance is assed in a multidimensional risk-adjusted return framework using a non-parametric procedure known as data envelopment analysis (DEA). In the DEA model, several risk measures are considered as input and average return is considered as...

Considering merger and acquisition of managed funds as two distinguishable undertakings, this paper presents measures to assess overall prospect for merger and overall prospect for acquisition separately. Merger and acquisition gain are computed with improvement in the rankings of funds based on...

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...

Purpose – The purpose of this paper is to study the consumer opinion towards the low-cost airlines or low-cost carriers (LCCs) (these two terms are used interchangeably) industry in Malaysia to better understand consumers’ needs and to provide better services. Sentiment analysis is...