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Downside Risk · Study

ReportDownside Risk

Andrew Ang2005

OA

Reportgreen2005

Downside Risk

Andrew Ang · Joseph S. Chen · Yuhang Xing

19 citations·0/0 files stored·National Bureau of Economic Research

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Risk Management in Financial Firms

Abstract

Review Risk Management Conference, the Conference on Financial Market Risk Premiums at the Federal Reserve Board

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References

1979Prospect Theory: An Analysis of Decision under Risk 1993Common risk factors in the returns on stocks and bonds 1992The Cross-Section of Expected Stock Returns 1973Risk, Return, and Equilibrium: Empirical Tests 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 1997Industry costs of equity 2003Liquidity Risk and Expected Stock Returns 2006The Cross‐Section of Volatility and Expected Returns

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2016Crash Sensitivity and Cross-Section of Expected Stock Returnsarticle · 23 shared references 2006Downside Riskarticle · 21 shared references 2004Downside Risk And Empirical Asset Pricingarticle · 21 shared references 2018Crash Sensitivity and the Cross Section of Expected Stock Returnsarticle · 18 shared references 2001Downside Risk and the Momentum Effectreport · 17 shared references 2001Downside Correlation and Expected Stock Returnspreprint · 17 shared references

Details

Year2005

Typereport

Published2005-12-01

VenueNational Bureau of Economic Research

Languageen

Citations19

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.3386/w11824

openalex_workW4234864004

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