Several studies have found that the cross-section of stock returns reflects a risk premium for bearing downside risk …; however, existing measures of downside risk have poor power for predicting returns. Therefore, this paper proposes a novel … measure of downside risk, the ES-implied beta, to improve the prediction of the cross-section of asset returns. The ES …

risk potential in the financial markets. Despite the computational intensity of the downside risk measures, they are very … widely applied to construct a portfolio and evaluate performance in terms of the investors’ loss aversion. Value-at-risk (VaR …) has emerged as an industry standard to analyze the market downside risk potential. The approaches used to measure VaR vary …