Rewards for downside risk in Asian markets

被引:21
作者
Alles, Lakshman [1 ]
Murray, Louis [2 ]
机构
[1] Curtin Univ Technol, Sch Econ & Finance, Perth, WA 6001, Australia
[2] Univ Coll Dublin, Sch Business, Blackrock, Co Dublin, Ireland
关键词
Downside risk; Emerging markets; Risk exposure and returns; CROSS-SECTION; EXPECTED RETURNS; CONDITIONAL CAPM; VOLATILITY; EQUILIBRIUM; SKEWNESS; TESTS; BETA;
D O I
10.1016/j.jbankfin.2013.02.006
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Distributional properties of emerging market returns may impact on investor ability and willingness to diversify. Investors may also place greater weighting on downside losses, compared to upside gains. Using individual equities in a range of emerging Asian markets, we investigate the potential contribution of downside risk measures to explain asset pricing in these markets. As realized returns are used as a proxy for expected returns, we separately examine conditional returns in upturn and downturn periods, in order to successfully identify risk and return relationships. Results indicate that co-skewness and downside beta are priced by investors. Further testing confirms a separate premium for each measure, confirming that they capture different aspects of downside risk. Robustness tests indicate that, when combined with other risk measures, both retain their explanatory power. Tests also indicate that co-skewness may be the more robust measure. (c) 2013 Elsevier B.V. All rights reserved.
引用
收藏
页码:2501 / 2509
页数:9
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