Does downside risk matter more in asset pricing? Evidence from China

被引：22

作者：

Ali, Heba ^{[1
]}

机构：

[1] GUC, Fac Management Technol, Dept Accounting & Finance, Cairo 11835, Egypt

来源：

EMERGING MARKETS REVIEW | 2019年 / 39卷

关键词：

Systemic risk; Downside risk; Stock returns; Asset pricing; Portfolio investment; CO-SKEWNESS; RETURNS; EQUILIBRIUM; PREFERENCE; EFFICIENCY; MODEL;

D O I：

10.1016/j.ememar.2019.05.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study examines if downside risk matters in asset pricing. Using a comprehensive sample of 3658 companies listed on the Chinese stock market from 1998 to 2017, evidence shows a positive reward for holding stocks with high downside risk, and this reward is not explained by other cross-sectional effects and remains robust across robustness tests. Downside beta is also found to be useful in the implementation of successful trading strategies in the medium and long term. By contrast, mixed results are found on the premiums robustness of total risk and semi-deviation, while no evidence of beta effect could be found.

引用

页码：154 / 174

页数：21

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