Alam, P. ; Hettler, B. ; Gao, H. Accounting downside risk measures and credit spreads. 2021 Review of Accounting and Finance. 20 103-120
Ali, H. Does downside risk matter more in asset pricing? evidence from China. 2019 Emerging Markets Review. 39 154-174
- Ang, A. ; Chen, J. ; Xing, Y. Downside risk. 2006 The Review of Financial Studies. 19 1191-1239
Paper not yet in RePEc: Add citation now
Atilgan, Y. ; Demirtas, K.O. Downside risk in emerging markets. 2013 Emerging Markets Finance and Trade. 49 65-83
- Bartoszewicz, A. ; Rutkowska-Ziarko, A. Factors hindering the conduct of audits of corporate social responsibility reports: Evidence from Poland. 2022 E&M Economics and Management. 25 24-41
Paper not yet in RePEc: Add citation now
Bawa, V.S. Optimal rules for ordering uncertain prospects. 1975 Journal of Financial Economics. 2 95-121
Bawa, V.S. ; Lindenberg, E.B. Capital market equilibrium in a mean-lower partial moment framework. 1977 Journal of Financial Economics. 5 189-200
- Bilgin, R. ; Basti, E. Further evidence on the validity of CAPM: The Istanbul stock exchange application. 2014 Inzinerine Ekonomika-Engineering Economics. 25 5-12
Paper not yet in RePEc: Add citation now
Chen, D. ; Chen, C. ; Chen, J. Downside risk measures and equity returns in the NYSE. 2009 Applied Economics. 41 1055-1070
- Cheung, Y. ; Wong, K. An assessment of risk and returns: Some empirical findings from the Hong Kong stock exchange. 1992 Applied Financial Economics. 2 105-114
Paper not yet in RePEc: Add citation now
Chhapra, I.U. ; Kashif, M. Higher co-moments and downside beta in asset pricing. 2019 Asian Academy of Management Journal of Accounting & Finance. 15 129-155
Durand, R.B. ; Lan, Y. ; Ng, A. Conditional beta: Evidence from asian emerging markets. 2011 Global Finance Journal. 22 130-153
Elsas, R. ; El-Shaer, M. ; Theissen, E. Beta and returns revisited: Evidence from the german stock market. 2003 Journal of International Financial Markets, Institutions and Money. 13 1-18
Estrada, J. Mean-semivariance behaviour: Downside risk and capital asset pricing. 2007 International Review of Economics & Finance. 16 169-185
Estrada, J. Systematic risk in emerging markets: The D-CAPM. 2002 Emerging Markets Review. 3 365-379
Fabozzi, F.J. ; Francis, J.C. Stability tests for alphas and betas over bull and bear market conditions. 1977 The Journal of Finance. 32 1093-1099
Faiteh, A. ; Aasri, M.R. Accounting Beta as an indicator of risk measurement: The case of the Casablanca stock exchange. 2022 Risks. 10 -
Fama, E.F. ; French, K.R. The cross-section of expected stock returns. 1992 Journal of Finance. 47 427-465
Fama, E.F. ; MacBeth, J. Risk, return, and equilibrium: Empirical tests. 1973 Journal of Political Economy. 81 607-636
Fletcher, J. An examination of the cross-sectional relationship of beta and return: UK evidence. 1997 Journal of Economics and Business. 49 211-221
Freeman, M. ; Guermat, C. The conditional relationship between beta and returns: A reassessment. 2006 Journal of Business Finance and Accounting. 33 1213-1239
Galagedera, D.U.A. Economic significance of downside risk in developed and emerging markets. 2009 Applied Economics Letters. 16 1627-1632
- Galagedera, D.U.A. ; Henry, D. ; Silvapulle, P. Empirical evidence on the conditional relation between higher-order systematic co-moments and security returns. 2003 Quarterly Journal of Business and Economics. 42 121-137
Paper not yet in RePEc: Add citation now
- Harlow, W.V. Asset allocation in a downside-risk framework. 1991 Financial Analysts Journal. 47 28-40
Paper not yet in RePEc: Add citation now
Harlow, W.V. ; Rao, R.K.S. Asset pricing in a generalized mean-lower partial moment framework: Theory and evidence. 1989 Journal of Financial and Quantitative Analysis. 24 285-311
Hill, N.C. ; Stone, B.K. Accounting betas, systematic operating risk, and financial leverage: A risk-composition approach to the determinants of systematic risk. 1980 The Journal of Financial and Quantitative Analysis. 15 595-637
Hogan, W. ; Warren, J. Toward the development of an equilibrium capital-market model based on semi-variance. 1974 Journal of Financial and Quantitative Analysis. 9 1-11
Huang, F. The impact of downside risk on UK stock returns. 2019 Review of Accounting and Finance. -
Huang, W. ; Luo, Y. ; Zhang, C. Accounting-based downside risk and stock price crash risk: Evidence from China. 2022 Finance Research Letters. 45 -
Isakov, D. Is Beta still alive? conclusive evidence from the swiss stock market. 1999 European Journal of Finance. 54 202-212
- Karacabey, A.A. ; Karatepe, Y. Beta and returns: Istanbul stock exchange evidence. 2004 Investment Management and Financial Innovations. 3 86-89
Paper not yet in RePEc: Add citation now
- Kim, M.K. ; Ismail, B.E. An accounting analysis of the risk-return relationship in bull and bear markets. 1989 Review of Financial Economics. 7 173-182
Paper not yet in RePEc: Add citation now
Kim, M.K. ; Zumwalt, J.K. An analysis of risk in bull and bear markets. 1979 Journal of Financial and Quantitative Analysis. 14 1015-1025
Konchitchki, Y. ; Luo, Y. ; Ma, M.L.Z. ; Wu, F. Accounting-based downside risk, cost of capital, and the macroeconomy. 2016 Review of Accounting Studies. 21 1-36
- Lakonishok, J. ; Shapiro, A.C. Stock returns, beta, variance and size: An empirical analysis. 1984 Financial Analysis Journal. 40 36-41
Paper not yet in RePEc: Add citation now
Levi, Y. ; Welch, I. Symmetric and asymmetric market betas and downside risk. 2020 The Review of Financial Studies. 33 2772-2795
- Lintner, J. The valuation of risk assets and the selection of risky investments in stock portfolio and capital budgets. 1965 Review of Economics and Statistics. 47 13-37
Paper not yet in RePEc: Add citation now
Luo, Y. ; Wang, X. ; Zhang, C. ; Huang, W. Accounting-based downside risk and expected stock returns: Evidence from China. 2021 International Review of Financial Analysis. 78 -
- Markowski, L. Capital asset pricing in the classical and downside approaches to risk. 2019 The Polish Statistician. 64 58-70
Paper not yet in RePEc: Add citation now
- Markowski, L. (2020). Further evidence on the validity of CAPM: The Warsaw Stock Exchange application. Journal of Economics & Management, 39, 82-104. 10.22367/jem.2020.39.05.
Paper not yet in RePEc: Add citation now
- Momcilovic, M. ; Zivkov, D. ; Vlaovic-Begovic, S. . 2017 The downside risk approach to cost of equity determination for Slovenian, Croatian and Serbian capital markets. Ekonomie a Management 3. XX: 147-158
Paper not yet in RePEc: Add citation now
- Mossin, J. Equilibrium in a capital asset market. 1966 Econometrica. 34 768-783
Paper not yet in RePEc: Add citation now
Nurjannah, A., Galagedera, D. U. A. & Brooks, R. (2012). Conditional relation between systematic risk and returns in the conventional and downside frameworks: evidence from the Indonesian market. Journal of Emerging Market Finance, 11(3), 271-300. 10.1177%2F0972652712466498.
Östermark, R. Empirical evidence on the capital asset pricing model in two scandinavian stock exchanges. 1991 Omega. 19 223-234
Pettengill, G.N. ; Sundaram, S. ; Mathur, I. Payment for risk: Constant Beta vs. dual-Beta models. 2002 The Financial Review, Eastern Finance Association. 37 123-135
Pettengill, G.N. ; Sundaram, S. ; Mathur, I. The conditional relation between beta and returns. 1995 Journal of Financial and Quantitative Analysis. 30 101-116
Reinganum, M.R. A new empirical perspective on the CAPM. 1981 Journal of Financial and Quantitative Analysis. 16 439-462
Rutkowska-Ziarko, A. Market and accounting measures of risk: The case of the Frankfurt stock exchange. 2022 Risks. 10 1-17
- Rutkowska-Ziarko, A. ; Markowski, L. Market and accounting risk factors of asset pricing in the classical and downside approaches. 2020 Annales Universitatis Mariae Curie-Skłodowska, Sectio H – Oeconomia. 54 103-112
Paper not yet in RePEc: Add citation now
- Rutkowska-Ziarko, A. ; Markowski, L. ; Pyke, C. . 2019 En : Accounting beta in the extended version of CAPM. Springer:
Paper not yet in RePEc: Add citation now
Rutkowska-Ziarko, A. ; Markowski, L. ; Pyke, C. ; Amin, S. Conventional and downside CAPM: The case of London stock exchange. 2022 Global Finance Journal. 54 -
- Rutkowska-Ziarko, A. & Pyke, C. (2017). The development of downside accounting beta as a measure of risk, Economics and Business Review, 45(4), 55-65. 10.18559/ebr.2017.4.4.
Paper not yet in RePEc: Add citation now
Sharpe, W.F. A simplified model of portfolio analysis. 1963 Management Science. 9 277-293
Sharpe, W.F. Capital asset prices: A theory of market equilibrium under conditions of risk. 1964 Journal of Finance. 19 425-442
Tang, G.Y.N. ; Shum, W.C. Risk-return relationships in the Hong Kong stock market: Revisit. 2006 Applied Financial Economics. 16 1047-1058
Tang, G.Y.N. ; Shum, W.C. The conditional relationship between beta and returns: Recent evidence from international stock markets. 2003 International Business Review. 12 109-126
Tang, G.Y.N. ; Shum, W.C. The risk-return relations: Evidence from the korean and Taiwan stock markets. 2007 Applied Economics. 15 1905-1919
Teplova, T. ; Shutova, E. A higher moment downside framework for conditional and unconditional CAPM in the russian stock market. eurasian. 2011 Economic Review. 1 157-178
- Tinic, S. & West, R. (1984). Risk and return: January vs. the rest of the year. Journal of Financial Economics, 13(4), 561-574. 10.1016/0304-405X(84)90016-3.
Paper not yet in RePEc: Add citation now
Vendrame, V. ; Guermat, C. ; Tucker, J. A conditional regime switching CAPM. 2018 International Review of Financial Analysis. 56 1-11
- Włodarczyk, B. ; Miciuła, I. Empirical analysis of long memory and asymmetry effects for the effectiveness of forecasting volatility of returns on the commodity market based on the example of gold and silver. 2020 E&M Economics and Management. 23 126-143
Paper not yet in RePEc: Add citation now