The impact of downside risk on UK stock returns
نویسندگان
چکیده
منابع مشابه
Downside Correlation and Expected Stock Returns
If investors are more averse to the risk of losses on the downside than of gains on the upside, investors ought to demand greater compensation for holding stocks with greater downside risk. Downside correlations better capture the asymmetric nature of risk than downside betas, since conditional betas exhibit little asymmetry across falling and rising markets. We find that stocks with high downs...
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ژورنال
عنوان ژورنال: Review of Accounting and Finance
سال: 2019
ISSN: 1475-7702
DOI: 10.1108/raf-07-2017-0139