Rewards for Downside Risk in Asian Markets
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 cont...
| Main Authors: | , |
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| Format: | Journal Article |
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Elsevier BV, North Holland
2013
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| Online Access: | http://hdl.handle.net/20.500.11937/48070 |
| _version_ | 1848758009166036992 |
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| author | Alles, Lakshman Murray, L. |
| author_facet | Alles, Lakshman Murray, L. |
| author_sort | Alles, Lakshman |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T09:37:10Z |
| format | Journal Article |
| id | curtin-20.500.11937-48070 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T09:37:10Z |
| publishDate | 2013 |
| publisher | Elsevier BV, North Holland |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-480702019-02-19T05:35:13Z Rewards for Downside Risk in Asian Markets Alles, Lakshman Murray, L. Downside risk Risk exposure and returns Emerging markets 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. 2013 Journal Article http://hdl.handle.net/20.500.11937/48070 10.1016/j.jbankfin.2013.02.006 Elsevier BV, North Holland fulltext |
| spellingShingle | Downside risk Risk exposure and returns Emerging markets Alles, Lakshman Murray, L. Rewards for Downside Risk in Asian Markets |
| title | Rewards for Downside Risk in Asian Markets |
| title_full | Rewards for Downside Risk in Asian Markets |
| title_fullStr | Rewards for Downside Risk in Asian Markets |
| title_full_unstemmed | Rewards for Downside Risk in Asian Markets |
| title_short | Rewards for Downside Risk in Asian Markets |
| title_sort | rewards for downside risk in asian markets |
| topic | Downside risk Risk exposure and returns Emerging markets |
| url | http://hdl.handle.net/20.500.11937/48070 |