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Downside risk measures and equity returns in the NYSE
16 references·2 citing·41 second hop
Downside risk measures and equity returns in the NYSE (2008)Downside risk measures and equity returns…Beyond Greed and Fear (2002)Beyond Greed and FearThe Cost of Equity in Emerging Markets: A Downside Risk Approach (Ii) (2001)The Cost of Equity in Emergin…Asset Allocation in a Downside Risk Framework (2000)Asset Allocation in a Downsid…Behavioral Finance and Its Implications for Stock-Price Volatility (1998)Behavioral Finance and Its Im…Corporate finance theory (1997)Corporate finance theoryPolitical Risk, Economic Risk, and Financial Risk (1996)Political Risk, Economic Risk…On the Use and Misuse of Downside Risk (1996)On the Use and Misuse of Down…Expected Returns and Volatility in 135 Countries (1996)Expected Returns and Volatili…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Downside risk (1991)Downside riskAsset Allocation in a Downside-Risk Framework (1991)Asset Allocation in a Downsid…Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence (1989)Asset Pricing in a Generalize…Modern Portfolio Theory and Investment Analysis. (1982)Modern Portfolio Theory and I…SIMPLE CRITERIA FOR OPTIMAL PORTFOLIO SELECTION (1976)SIMPLE CRITERIA FOR OPTIMAL P…Market and Industry Factors in Stock Price Behavior (1966)Market and Industry Factors i…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Risk premia and ambiguity in an experimental market featuring a long-lived asset (2017)Risk premia and ambiguity in …Reward-risk momentum strategies using classical tempered stable distribution (2015)Reward-risk momentum strategi…Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)The Behavior of Stock-Market Prices (1965)Diversification, Ricardian Rents, and Tobin's q (1988)The Event Study Methodology Since 1969 (1998)Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns (2002)Optimal rules for ordering uncertain prospects (1975)Behavioral Models of Risk Taking in Business Decisions: A Survey and Evaluation (1977)Increased Correlation in Bear Markets (2002)Mean-Modified Value-at-Risk Optimization with Hedge Funds (2002)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)Emerging equity markets and economic development (2001)Global Capital and National Governments (2001)What Segments Equity Markets? (2011)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)DOWNSIDE RISK IMPLICATIONS OF MULTINATIONALITY AND INTERNATIONAL JOINT VENTURES. (2000)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)ESG shareholder engagement and downside risk (2023)The financial analysts journal (1960)The journal of financial economics (1993)Learning to trade via direct reinforcement (2001)Does the choice of performance measure influence the evaluation of hedge funds? (2007)Blind to carbon risk? An analysis of stock market reaction to the Paris Agreement (2020)Time-Varying World Market Integration (1995)International Portfolio Flows and Security Markets (1999)Privatization, political risk and stock market development in emerging economies (2001)The national market impact of sovereign rating changes (2003)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Professional trader discipline and trade disposition (2005)The Role of Corporate Reputation in Determining Investor Satisfaction and Loyalty (2007)Retrospective Voting Reconsidered (2013)Common risk factors in the returns on stocks and bonds (1993)The Sharpe Ratio (1994)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Betting against beta (2013)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)
this work references cited by second hop

References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1982Modern Portfolio Theory and Investment Analysis.3,012 cited
  • 1966Market and Industry Factors in Stock Price Behavior838 cited
  • 1996Political Risk, Economic Risk, and Financial Risk619 cited
  • 1991Downside risk604 cited
  • 2002Beyond Greed and Fear528 cited
  • 1989Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence480 cited
  • 1991Asset Allocation in a Downside-Risk Framework398 cited
  • 1996Expected Returns and Volatility in 135 Countries346 cited
  • 2000Asset Allocation in a Downside Risk Framework325 cited
  • 1976SIMPLE CRITERIA FOR OPTIMAL PORTFOLIO SELECTION317 cited
  • 1998Behavioral Finance and Its Implications for Stock-Price Volatility294 cited
  • 1997Corporate finance theory261 cited
  • 2001The Cost of Equity in Emerging Markets: A Downside Risk Approach (Ii)208 cited
  • 1996On the Use and Misuse of Downside Risk137 cited

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Cited by

  • 2015Reward-risk momentum strategies using classical tempered stable distribution23 cited
  • 2017Risk premia and ambiguity in an experimental market featuring a long-lived asset0 cited