create a website

A remark on mean‐semivariance behaviour: Downside risk and capital asset pricing. (2023). Venkataraman, Sree Vinutha.
In: International Journal of Finance & Economics.
RePEc:wly:ijfiec:v:28:y:2023:i:3:p:2683-2695.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 24

References cited by this document

Cocites: 22

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Ali, H. (2019). Does downside risk matter more in asset pricing? Evidence from China. Emerging Markets Review, 39, 154–174.

  2. Alles, L., & Murray, L. (2013). Rewards for downside risk in Asian markets. Journal of Banking & Finance, 37, 2501–2509.

  3. Ang, A., Chen, J., & Xing, Y. (2006). Downside risk. The Review of Financial Studies, 19, 1191–1239.
    Paper not yet in RePEc: Add citation now
  4. Artavanis, N., Diacogiannis, G., & Mylonakis, J. (2010). The D‐CAPM: The case of Great Britain and France. International Journal of Economics and Finance, 3, 25–38.
    Paper not yet in RePEc: Add citation now
  5. Atilgan, Y., Bali, T. G., Demirtas, O. K., & Gunaydin, D. A. (2018). Downside beta and equity returns around the world. The Journal of Portfolio Management, 7, 39–54. https://doi.org/10.3905/jpm.2018.1.080.
    Paper not yet in RePEc: Add citation now
  6. Baghdadabad, M. R. T., & Glabadanidis, P. (2014). An extensile method on the arbitrage pricing theory based on downside risk (D‐APT). International Journal of Managerial Finance, 10, 54–72.

  7. Bawa, V., & Linderberg, E. (1977). Capital market equilibrium in a mean‐lower partial moment framework. Journal of Financial Economics, 5, 189–200.
    Paper not yet in RePEc: Add citation now
  8. Beach, S. L. (2011). Semivariance decomposition of country‐level returns. International Review of Economics & Finance, 20, 607–623.

  9. Chen, D.‐H., Chen, C.‐D., & Chen, J. (2009). Downside risk measures and equity returns in the NYSE. Applied Economics, 41, 1055–1070.

  10. Estrada, J. (2007). Meam‐semivariance behavior: Downside risk and capital asset pricing. International Review of Economics and Finance, 16, 169–185.
    Paper not yet in RePEc: Add citation now
  11. Galagedera, D. U. A. (2007). An alternative perspective on the relationship between downside beta and CAPM beta. Emerging Markets Review, 8, 4–19.

  12. Galagedera, D. U. A., & Brooks, R. D. (2007). Is co‐skewness a better measure of risk in the downside than downside beta? Evidence in emerging market data. Journal of Multinational Financial Management, 17, 214–230.
    Paper not yet in RePEc: Add citation now
  13. Harlow, V., & Rao, R. (1989). Asset pricing in a generalized mean‐lower partial moment framework: Theory and evidence. Journal of Financial & Quantitative Analysis, 24, 285–311.

  14. Hogan, W. W., & Warren, J. M. (1974). Toward the development of an equilibrium capital‐market model based on semivariance. Journal of Financial & Quantitative Analysis, 9, 1–11.

  15. Hoque, M. E., & Low, S.‐W. (2020). Industry risk factors and stock returns of Malaysian oil and gas industry: A new look with mean semi‐variance asset pricing framework. Mathematics, 8, 1732–1759 Retrieved from https://in.investing.com/rates-bonds/india-3-month-bond-yield.

  16. Lee, C. L., Robinson, J., & Reed, R. (2008). Downside beta and the cross‐sectional determinants of listed property trust returns. The Journal of Real Estate Portfolio Management, 14, 49–62.
    Paper not yet in RePEc: Add citation now
  17. Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics, 47, 13–37.
    Paper not yet in RePEc: Add citation now
  18. Luenberger, D. G. (1998). Investment science. New York, NY: Oxford University Press.
    Paper not yet in RePEc: Add citation now
  19. Mamoghli, C., & Daboussi, S. (2010). Capital asset pricing models and performance measures in the downside risk framework. Journal of Emerging Market Finance, 9, 95–130.
    Paper not yet in RePEc: Add citation now
  20. Markowitz, H. M. (1959). Portfolio selection: Efficient diversification of investments. New York, NY: Wiley.
    Paper not yet in RePEc: Add citation now
  21. Nikoomaram, H. (2010). Comparative analysis of sensitivity coefficient using traditional beta of CAPM and downside beta of D‐CAPM in automobile manufacturing companies. African Journal of Business Management, 4, 3289–3295.
    Paper not yet in RePEc: Add citation now
  22. Ormos, M., & Timotity, D. (2016). Generalized asset pricing: Expected downside risk‐based equilibrium modeling. Economic Modelling, 52, 967–980.
    Paper not yet in RePEc: Add citation now
  23. Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19, 425–442.

  24. Yadav, S. (2018). Response of equity portfolios to market movements using CAPM and downside beta (MSc Project Report), Indian Institute of Technology, Kharagpur.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. CEO optimism and the use of credit default swaps: evidence from the US life insurance industry. (2024). Lin, Tzu-Ting ; Wen, Min-Ming ; Cheng, Jiang ; Fung, Hung-Gay.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:63:y:2024:i:1:d:10.1007_s11156-024-01254-8.

    Full description at Econpapers || Download paper

  2. Comparative analysis of profits from Bitcoin and its derivatives using artificial intelligence for hedge. (2024). Liu, Shan ; Che, Jianhua ; Zhu, Qing.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:654:y:2024:i:c:s037843712400668x.

    Full description at Econpapers || Download paper

  3. Is downside risk priced in cryptocurrency market?. (2024). Dobrynskaya, Victoria.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004635.

    Full description at Econpapers || Download paper

  4. Financial stability policy and downside risk in stock returns. (2024). Yang, Jianlei.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001219.

    Full description at Econpapers || Download paper

  5. Conditional CAPM relationships in standard and accounting risk approaches. (2024). Markowski, Lesaw ; Abdou, Hussein A ; Ziarko, Anna Rutkowska.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000482.

    Full description at Econpapers || Download paper

  6. Higher‐order moments and asset pricing in the Australian stock market. (2024). Ahadzie, Richard Mawulawoe ; Jeyasreedharan, Nagaratnam.
    In: Accounting and Finance.
    RePEc:bla:acctfi:v:64:y:2024:i:1:p:75-128.

    Full description at Econpapers || Download paper

  7. A remark on mean‐semivariance behaviour: Downside risk and capital asset pricing. (2023). Venkataraman, Sree Vinutha.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:28:y:2023:i:3:p:2683-2695.

    Full description at Econpapers || Download paper

  8. Cross-Country Differences in Return and Volatility Metrics of World Equity Indices. (2023). Ślepaczuk, Robert ; Iskandar, Sheraliev ; Robert, Lepaczuk.
    In: Central European Economic Journal.
    RePEc:vrs:ceuecj:v:10:y:2023:i:57:p:91-115:n:3.

    Full description at Econpapers || Download paper

  9. Downside risk matters once the lottery effect is controlled: explaining risk–return relationship in the Indian equity market. (2023). Badhani, K N ; Ali, Asgar.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:24:y:2023:i:1:d:10.1057_s41260-022-00290-0.

    Full description at Econpapers || Download paper

  10. Downside risk and profitability ratios: The case of the New York Stock Exchange. (2023). Rutkowska-Ziarko, Anna.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:68:y:2023:i:c:s106294082300116x.

    Full description at Econpapers || Download paper

  11. Market and Accounting Measures of Risk: The Case of the Frankfurt Stock Exchange. (2022). Rutkowska-Ziarko, Anna.
    In: Risks.
    RePEc:gam:jrisks:v:10:y:2022:i:1:p:14-:d:719277.

    Full description at Econpapers || Download paper

  12. Exchange rate volatility and trade flows in Indonesia and ten main trade partners: asymmetric effects. (2022). Heriqbaldi, Unggul ; Handoyo, Rossanto Dwi ; Esquivias, Miguel Angel ; Rohmawati, Hilda ; Rifami, Alfira Cahyaning.
    In: Studies in Economics and Finance.
    RePEc:eme:sefpps:sef-10-2021-0451.

    Full description at Econpapers || Download paper

  13. Dividend policy, risk and the cross-section of stock returns: Evidence from India. (2022). Ali, Heba ; Hegazy, Aya Yasser.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:79:y:2022:i:c:p:169-192.

    Full description at Econpapers || Download paper

  14. Conventional and downside CAPM: The case of London stock exchange. (2022). Amin, Saqib ; Markowski, Lesaw ; Pyke, Christopher ; Rutkowska-Ziarko, Anna.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:54:y:2022:i:c:s1044028322000618.

    Full description at Econpapers || Download paper

  15. Differential impact of earnings management on the accrual anomaly. (2021). Bansal, Manish ; Ali, Asgar.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:22:y:2021:i:7:d:10.1057_s41260-021-00243-z.

    Full description at Econpapers || Download paper

  16. Exchange rate risk and commodity trade between U.S. and India: an asymmetry analysis. (2020). Bahmani-Oskooee, Mohsen ; Saha, Sujata.
    In: Journal of the Asia Pacific Economy.
    RePEc:taf:rjapxx:v:25:y:2020:i:4:p:675-695.

    Full description at Econpapers || Download paper

  17. On the impact of exchange rate volatility on Tunisia’s trade with 16 partners: an asymmetry analysis. (2020). Bahmani-Oskooee, Mohsen ; Nouira, Ridha.
    In: Economic Change and Restructuring.
    RePEc:kap:ecopln:v:53:y:2020:i:3:d:10.1007_s10644-019-09250-y.

    Full description at Econpapers || Download paper

  18. Empirical analysis of intertemporal relations between downside risks and expected returns—Evidence from Asian markets. (2019). Chiang, Thomas C.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:47:y:2019:i:c:p:264-278.

    Full description at Econpapers || Download paper

  19. Forecasting downside risk in China’s stock market based on high-frequency data. (2019). Wang, Zongrun ; Gong, XU ; Chen, Sicen ; Xie, Nan.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:517:y:2019:i:c:p:530-541.

    Full description at Econpapers || Download paper

  20. Is stock return predictability of option‐implied skewness affected by the market state?. (2018). Kim, Tong Suk ; Park, Heewoo.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:38:y:2018:i:9:p:1024-1042.

    Full description at Econpapers || Download paper

  21. Sustainability Managed against Downside Risk and the Cost of Equity: Evidence in Korea. (2018). Thu, Truong Thi ; Kim, Jungmu.
    In: Sustainability.
    RePEc:gam:jsusta:v:10:y:2018:i:11:p:3969-:d:179416.

    Full description at Econpapers || Download paper

  22. Conditional Volatility Exposures in Asset Pricing in the Downside and Classical Framework. (2015). Markowski, Lesaw.
    In: Research in Economics and Business: Central and Eastern Europe.
    RePEc:ttu:rebcee:81.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-10-04 10:21:24 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.