Work

Downside Risk in Emerging Markets

Year: 2013

Type: article

Abstract: This paper investigates the relation between downside risk and expected returns on the aggregate stock market in an international context. Nonparametric and parametric value at risk are used as measures of downside risk to determine the existence of a risk-return trade-off. For emerging markets, fixed effects panel data regressions provide evidence for a significantly positive relationship between monthly expected market returns and downside risk. This result is robust after controlling for aggregate dividend yield and price-to-fundamental ratios. The relationship between expected returns and downside risk is weaker for developed markets and vanishes when control variables are included in the specification.

Source: Emerging Markets Finance and Trade

DOI: 10.2753/ree1540-496x490306

Authors: Yigit Atilgan, K. Ozgur Demirtas

Institution: Sabancı Üniversitesi

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

SDG: Decent work and economic growth

Open Access status: green

OpenAlex ID: W3122628987

FWCI: 6.412

Cites: 41

Cited by: 30

Related to: 10