A Novel Downside Risk Measure and Expected Returns

A Novel Downside Risk Measure and Expected Returns

Several studies have found that the cross-section of stock returns reflects a risk premium for bearing downside risk; however, existing measures of downside risk have poor power for predicting returns. Therefore, this paper proposes a novel measure...

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Bibliographic Details
Main Author: Liu, Jinjing
Format: Working Paper
Language:English
Published: World Bank, Washington, DC 2019
Subjects:
RISK PREMIUM
ASSET RETURN
RETURN ON ASSET
EXPECTED RETURN
STOCK MARKETS
Online Access:http://documents.worldbank.org/curated/en/524291563990594233/A-Novel-Downside-Risk-Measure-and-Expected-Returns
http://hdl.handle.net/10986/32131

Internet

http://documents.worldbank.org/curated/en/524291563990594233/A-Novel-Downside-Risk-Measure-and-Expected-Returns
http://hdl.handle.net/10986/32131

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