Bear beta
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DOI: 10.1016/j.jfineco.2018.09.006
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More about this item
Keywords
Arrow–Debreu state prices; Bear beta; Bear market risk; Downside risk; Factor models;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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