Conditional Relation between Systematic Risk and Returns in the Conventional and Downside Frameworks: Evidence from the Indonesian Market
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DOI: 10.1177/0972652712466498
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References listed on IDEAS
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- Nida SHAH* & Javaid DARS* & Ambreen ZEB**, 2015. "Market Varying Conditional Risk-Return Relationship," Pakistan Journal of Applied Economics, Applied Economics Research Centre, vol. 25(1), pages 25-43.
- Lesław Markowski, 2019. "Stock market situation and relations between beta coefficients and returns determined by the CAPM on the example of companies from the ICT sector," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 54, pages 393-408.
- Rutkowska-Ziarko, Anna & Markowski, Lesław & Pyke, Christopher & Amin, Saqib, 2022. "Conventional and downside CAPM: The case of London stock exchange," Global Finance Journal, Elsevier, vol. 54(C).
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- Anna Rutkowska-Ziarko, 2022. "Market and Accounting Measures of Risk: The Case of the Frankfurt Stock Exchange," Risks, MDPI, vol. 10(1), pages 1-17, January.
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More about this item
Keywords
CAPM; downside beta; up/down market condition; market volatility;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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