From Regular-Beta CAPM to Downside-Beta CAPM
Year: 2011
Type: preprint
Abstract: CAPM has come a long way and has passed the time-test and eventually is fast coming out as a winner despite the onslaught of both, APT and multi-factor CAPM. The bottom line is that CAPM is needed, dead or alive. If so, it does not mean that CAPM stays as “CAPM”. Downside risk in recent times has caught the eyes of researchers. Downside-beta CAPM (DCAPM) based on downside risk is being thought a fast replacement to CAPM. It captures almost all the features of CAPM but let goes conditions of normality and investor’s preference of both upside and downside risk. With evidence pouring in from all corners of the world especially from emerging markets, that DCAPM and its different modified versions outperforms CAPM, it seems that DCAPM is long-awaited solution for asset pricing problem.
Source: SSRN Electronic Journal
Authors: Qaisar Abbas, Usman Ayub, Shahid Mehmmod Sargana, Syed Kashif Saeed
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2100210150