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 of downside risk, the ES-implied beta, to improve the prediction of the cross-section of asset returns. The ES-implied beta explains stock returns over the same period as well as the widely used downside...
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INFORMATION
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2019/07/24
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Document de travail de recherche sur les politiques
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WPS8947
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1
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1
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2019/07/24
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Disclosed
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A Novel Downside Risk Measure and Expected Returns
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predictive power