IDEAS home Printed from https://ideas.repec.org/a/taf/jbemgt/v14y2013isup1ps447-s469.html
   My bibliography  Save this article

Mean-drawdown risk behavior: drawdown risk and capital asset pricing

Author

Listed:
  • Mohammad Reza Tavakoli Baghdadabad
  • Fauzias Mat Nor
  • Izani Ibrahim

Abstract

We develop an alternative approach based on mean-drawdown risk behavior versus the mean-variance behavior. We develop two risk measures as the maximum draw down risk and average drawdown risk to estimate two new betas and then propose two CAPM -like models. The data includes a comprehensive universe of more than 11,000 US equity-based mutual funds from first month of 2000 to third month of 2011.The evidence clearly shows superiority of the maximum and average drawdown betas and their pricing models, the maximum drawdown CAPM and the average drawdown CAPM , over the traditional beta and CAPM , respectively.

Suggested Citation

  • Mohammad Reza Tavakoli Baghdadabad & Fauzias Mat Nor & Izani Ibrahim, 2013. "Mean-drawdown risk behavior: drawdown risk and capital asset pricing," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 14(sup1), pages 447-469, June.
    • Handle: RePEc:taf:jbemgt:v:14:y:2013:i:sup1:p:s447-s469
    DOI: 10.3846/16111699.2012.720593
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.3846/16111699.2012.720593
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.3846/16111699.2012.720593?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Tavakoli Baghdadabad, Mohammad Reza, 2014. "Average drawdown risk reduction and risk tolerances," Research in Economics, Elsevier, vol. 68(3), pages 264-276.
    2. Rui Ding, 2023. "f-Betas and Portfolio Optimization with f-Divergence induced Risk Measures," Papers 2302.00452, arXiv.org, revised May 2023.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:jbemgt:v:14:y:2013:i:sup1:p:s447-s469. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/TBEM20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.