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Asymmetric Returns and Semidimensional Risks: Security Valuation with a New Volatility Metric
2000
Social Science Research Network
I introduce the semidimensions of risk as the conditional upside and downside partitions of volatility. Investors typically treat upside volatility as a sweetener and downside volatility as undesirable risk. I present results that are consistent with a semidimensional risk-based explanation for the twin puzzles of long-term return reversal and short-term return continuation.
doi:10.2139/ssrn.246510
fatcat:6jkdn5rd6zfdpim6qhe5sui2xy