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Is Systematic Downside Beta Risk Really Priced? Evidence in Emerging Market Data
2005
Social Science Research Network
Several studies advocating safety first as a major concern to investors propose downside beta risk as an alternative to the traditional systematic risk-beta. Downside measures are concerned with a subset of the data and therefore the results in the studies that consider the downside beta only may be biased. This study addresses this issue by including downside co-skewness risk in addition to the downside beta risk in the pricing model. In a sample of 27 emerging markets two-stage rolling
doi:10.2139/ssrn.790106
fatcat:na7akqnocvhebijkddv2j4ryoy