A Novel Downside Risk Measure and Expected Returns
Several studies have found that the cross-section of stock returns reflects a risk premium for bearing downside risk; however, existing measures of downside risk have poor power for predicting returns. Therefore, this paper proposes a novel measure...
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| Format: | Working Paper |
| Language: | English |
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World Bank, Washington, DC
2019
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| Online Access: | http://documents.worldbank.org/curated/en/524291563990594233/A-Novel-Downside-Risk-Measure-and-Expected-Returns http://hdl.handle.net/10986/32131 |