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- W2225281175 abstract "This paper presents a fractionally cointegrated vector autoregression (FCVAR) model to examine various relations between stock returns and downside risk. Evidence from major advanced markets supports the notion that downside risk measured by value-at-risk (VaR) has significant information content that reflects lagged long-run variance and higher moments of risk for predicting stock returns. The evidence supports the positive tradeoff hypothesis and the leverage effect in the long run and for some markets in the short run. We find that US downside risk accounts for 54.36% of price discovery, whereas the own effect from the country itself contributes only 27.06%." @default.
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- W2225281175 date "2016-01-01" @default.
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- W2225281175 title "Downside Risk and Stock Returns: An Empirical Analysis of the Long-Run and Short-Run Dynamics from the G-7 Countries" @default.
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- W2225281175 doi "https://doi.org/10.2139/ssrn.2800951" @default.
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