Downside Beta and Equity Returns around the World

Atılgan, Yiğit; Bali, Turan G.; Demirtaş, K. Özgür; Günaydın, A. Doruk

doi:10.3905/jpm.2018.1.080

Cited by 21 publications

(5 citation statements)

References 33 publications

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“…Post and van Vliet (2004) reach the same conclusion, and Lettau et al (2014) similarly find that a downside beta version of the CAPM better explains the variation in the returns across other asset classes. By contrast, recent work by Atilgan et al (2018) has called into question the ability of downside betas to satisfactorily explain the crosssectional variation in more recent U.S. and international equity returns. Levi and Welch (2020) also conclude that downside betas do not provide superior cross-sectional return predictions compared to the predictability afforded by traditional betas.…”

Section: Introductionmentioning

confidence: 97%

Realized semibetas: Disentangling “good” and “bad” downside risks

Bollerslev

Patton

Quaedvlieg

2022

Journal of Financial Economics

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Section: Introductionmentioning

confidence: 97%

Realized semibetas: Disentangling “good” and “bad” downside risks

Bollerslev

Patton

Quaedvlieg

2022

Journal of Financial Economics

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“…Venkataraman (2023) found that D-CAPM is not appropriate when using the Nifty 50 or S&P BSE Sensex as the market portfolio. Moreover, the downside risk premium was not confirmed in studies such as Atilgan et al (2018;2020). They show that downside beta does not explain cross-sectional variability in stock returns.…”

Section: Literature Reviewmentioning

confidence: 90%

Conventional and downside CAPM with higher-order moments: Evidence from emerging markets

Markowski

2024

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Research background: Conventional CAPM is a well-known and tested theory on various capital markets. It was also repeatedly rejected as a model of capital pricing. This article proposes a different approach to both CAPM testing and the use of other risk measures. In addition, research is global, including emerging countries. Purpose of the article: This paper investigates the standard CAPM, and this model is based on higher moments of the return distribution for the global emerging market. In addition, this paper aims to compare the conventional and downside CAPM versions using the beta coefficient and co-moments. Methods: Contrary to the classical unconditional tests for the risk premium, conditional relationships are also estimated considering the market portfolio condition. Moreover, the studies considered conventional and downside approaches to risk measures. The cross-sectional regressions are based on the Fama-MacBeth (F-M) procedure and panel models. Findings & value added: The findings contribute to the debate on whether beta coefficient and higher order co-moments in conventional and downside approaches can explain the cross-sectional emerging indices returns. The unconditional models using all measures do not significantly describe the cross-sectional volatility of returns. The cross-sectional regressions in up and down-market based on both the classic F-M procedure and panel models show that the beta and co-kurtosis risk premium is significant and depends on market conditions. The risk premium for co-skewness is not valid, and the direction of the relationships is opposite than expected. Research also demonstrates that the test results of CAPM relationships are not robust to the presence of outliers and shocks resulting from the Covid-19 pandemic in the context of risk-return space. Research provides strong support for the importance of downside risk in the context of standard CAPM and, above all, higher co-moments.

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“…Rutkowska-Ziarko and Pyke [38] introduce the downside accounting beta suggesting to use it for the measurement of the systemic risk. Altigan et al [1] claim that the downside beta valuation is not sufficient for the asset pricing on international markets contrary to the results for the US equity market. And therefore it is required to take into account the upside one also if we want to create a general model.…”

Section: Introductionmentioning

confidence: 88%

The Downside and Upside Beta Valuation in the Variance-Gamma Model

Иванов

2021

ijaa

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The paper is aimed to assess the risks and gains of investment portfolio which relate to the impact of a particular asset. We consider the investment portfolios which consist of assets with variancegamma, gamma distributed and deterministic returns. The returns are assumed to be dependent. We derive analytical formulas for the downside and upside betas in the discussed framework. The established formulas depend on the values of a number of special mathematical functions including the values of the generalized hypergeometric ones.

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Downside Beta and Equity Returns around the World

Cited by 21 publications

References 33 publications

Realized semibetas: Disentangling “good” and “bad” downside risks

Realized semibetas: Disentangling “good” and “bad” downside risks

Conventional and downside CAPM with higher-order moments: Evidence from emerging markets

The Downside and Upside Beta Valuation in the Variance-Gamma Model

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