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• W2109213319 abstract "In the current study, we focus on the capital asset pricing model (CAPM) beta and downside betas. The empirical results of market index returns in the international samples of 23 developed countries exhibit significant differences between the CAPM and downside betas, indicating that these models capture distinct risks. Considering autocorrelation variance, the DCC downside betas (HW-beta and HR-beta) more effectively explain the expected stock market returns than does the CAPM beta." @default.
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• W2109213319 date "2014-01-01" @default.
• W2109213319 modified "2023-09-26" @default.
• W2109213319 title "A time-varying perspective on the CAPM and downside betas" @default.
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• W2109213319 doi "https://doi.org/10.1016/j.iref.2013.07.006" @default.
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