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- W3121879835 abstract "The mean-semivariance CAPM strongly outperforms the traditional mean-variance CAPM in terms of its ability to explain the cross-section of US stock returns. If regular beta is replaced by downside beta, the traditional risk-return relationship is restored. The downside betas of lowbeta stocks are substantially higher than the regular betas, while high-beta stocks involve less systematic downside risk than suggested by their regular betas. This pattern is especially pronounced during bad states-of-the-world, when the market risk premium is high. In sum, our results provide evidence in favor of market portfolio efficiency, provided we account for conditional downside risk. 5001-6182 Business 4001-4280.7 Finance Management, Business Finance, Corporation Finance Library of Congress Classification (LCC) HG 4529.5 Portfolio management M Business Administration and Business Economics G 3 Corporate Finance and Governance Journal of Economic Literature (JEL) C22, C32, G11, G12 Time serie models; single equation Time serie models; mutiple equation Portfolio choice Asset pricing 85 A Business General 220 A Financial Management European Business Schools Library Group (EBSLG) 220 P Portfolio management Gemeenschappelijke Onderwerpsontsluiting (GOO) 85.00 Bedrijfskunde, Organisatiekunde: algemeen 85.30 Financieel management, financiering Classification GOO 85.33 Beleggingsleer Bedrijfskunde / Bedrijfseconomie Financieel management, bedrijfsfinanciering, besliskunde" @default.
- W3121879835 created "2021-02-01" @default.
- W3121879835 creator A5066770755 @default.
- W3121879835 date "2004-01-01" @default.
- W3121879835 modified "2023-09-25" @default.
- W3121879835 title "Conditional Downside Risk and the CAPM" @default.
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