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Does downside beta matter in asset pricing?
16 references·2 citing·28 second hop
Does downside beta matter in asset pricing? (2007)Does downside beta matter in asset pricin…On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills (2015)On Market Timing and Investme…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Autoregressive Conditional Skewness (1999)Autoregressive Conditional Sk…The Econometrics of Financial Markets (1997)The Econometrics of Financial…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Downside risk (1991)Downside riskMarket Timing and Mutual Fund Performance: An Empirical Investigation (1984)Market Timing and Mutual Fund…On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills (1981)On Market Timing and Investme…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…Capital market equilibrium in a mean-lower partial moment framework (1977)Capital market equilibrium in…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…Optimal rules for ordering uncertain prospects (1975)Optimal rules for ordering un…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Safety First and the Holding of Assets (1952)Safety First and the Holding …Does downside risk matter more in asset pricing? Evidence from China (2019)Does downside risk matter mor…Rewards for downside risk in Asian markets (2013)Rewards for downside risk in …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)Conditional Skewness in Asset Pricing Tests (2000)… and the Cross-Section of Expected Returns (2015)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)A Theory of the Term Structure of Interest Rates (1985)Efficient Capital Markets: II (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)On the Measurement of Poverty (1987)An Engine, Not a Camera (2006)Bank activity and funding strategies: The impact on risk and returns☆ (2010)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988 (1993)Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Introductory Econometrics for Finance (2008)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 2012The Econometrics of Financial Markets5,875 cited
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  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1952Safety First and the Holding of Assets2,537 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 1981On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills1,321 cited
  • 2015On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills1,206 cited
  • 1975Optimal rules for ordering uncertain prospects860 cited
  • 1977Capital market equilibrium in a mean-lower partial moment framework821 cited
  • 1999Autoregressive Conditional Skewness761 cited
  • 1984Market Timing and Mutual Fund Performance: An Empirical Investigation634 cited

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  • 1991Downside risk604 cited
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    • 2019Does downside risk matter more in asset pricing? Evidence from China38 cited
    • 2013Rewards for downside risk in Asian markets28 cited