Traditional beta, downside risk beta and market risk premiums
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Cited by:
- González-Sánchez, Mariano, 2022. "Factorial asset pricing models using statistical anomalies," Research in International Business and Finance, Elsevier, vol. 60(C).
- Tsai, Hsiu-Jung & Chen, Ming-Chi & Yang, Chih-Yuan, 2014. "A time-varying perspective on the CAPM and downside betas," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 440-454.
- Harris, Richard & Stoja, Evarist & Nguyen, Linh, 2016. "Systematic tail risk," Bank of England working papers 637, Bank of England.
- Miralles Marcelo, José Luis & Miralles Quirós, María Del Mar & Miralles Quirós, José Luis., 2007. "Análisis Media-semivarianza: Una Aplicación A Las Primas De Riesgo En El Mercado De Valores Español/Mean-semivariance Analysis: An Application To Risk Premiums In The Spanish Stock Market," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 25, pages 199-214, Abril.
- Peter Xu & Rich Pettit, 2014. "No-arbitrage conditions and expected returns when assets have different β’s in up and down markets," Journal of Asset Management, Palgrave Macmillan, vol. 15(1), pages 62-71, February.
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