Extreme Downside Risk and Expected Stock Returns

2009 ◽  
Author(s):  
Wei Huang ◽  
Qianqiu Liu ◽  
S. Ghon Rhee ◽  
Feng Wu
Keyword(s):  
Stock Returns ◽  
Downside Risk ◽  
Expected Stock Returns

scholarly journals Variance Premium, Downside Risk, and Expected Stock Returns

2017 ◽  
Author(s):  
Bruno Feunou ◽  
Ricardo Lopez Aliouchkin ◽  
Roméo Tédongap ◽  
Lai Xu
Keyword(s):  
Stock Returns ◽  
Downside Risk ◽  
Expected Stock Returns

Is There an Intertemporal Relation between Downside Risk and Expected Returns?

2009 ◽  
Vol 44 (4) ◽  
pp. 883-909 ◽  
Author(s):  
Turan G. Bali ◽  
K. Ozgur Demirtas ◽  
Haim Levy
Keyword(s):  
Stock Returns ◽  
Value At Risk ◽  
Risk Measures ◽  
Downside Risk ◽  
Expected Returns ◽  
Significant Relation ◽  
Macroeconomic Variables ◽  
Portfolio Returns ◽  
Risk Return ◽  
Expected Stock Returns

AbstractThis paper examines the intertemporal relation between downside risk and expected stock returns. Value at Risk (VaR), expected shortfall, and tail risk are used as measures of downside risk to determine the existence and significance of a risk-return tradeoff. We find a positive and significant relation between downside risk and the portfolio returns on NYSE/AMEX/Nasdaq stocks. VaR remains a superior measure of risk when compared with the traditional risk measures. These results are robust across different stock market indices, different measures of downside risk, loss probability levels, and after controlling for macroeconomic variables and volatility over different holding periods as originally proposed by Harrison and Zhang (1999).

scholarly journals Variance Premium, Downside Risk, and Expected Stock Returns

2017 ◽  
Author(s):  
Bruno Feunou ◽  
Ricardo Lopez Aliouchkin ◽  
Rommo TTdongap ◽  
Lai Xu
Keyword(s):  
Stock Returns ◽  
Downside Risk ◽  
Expected Stock Returns

Extreme downside risk and expected stock returns

2012 ◽  
Vol 36 (5) ◽  
pp. 1492-1502 ◽  
Author(s):  
Wei Huang ◽  
Qianqiu Liu ◽  
S. Ghon Rhee ◽  
Feng Wu
Keyword(s):  
Stock Returns ◽  
Downside Risk ◽  
Expected Stock Returns

Extreme Downside Risk and Expected Stock Returns

2008 ◽  
Author(s):  
Wei Huang ◽  
Qianqiu Liu ◽  
S. Ghon Rhee ◽  
Feng Wu
Keyword(s):  
Stock Returns ◽  
Downside Risk ◽  
Expected Stock Returns

Commonality in the Determinants of Expected Stock Returns

CFA Digest ◽  
1997 ◽  
Vol 27 (1) ◽  
pp. 41-42
Author(s):  
Terence M. Lim
Keyword(s):  
Stock Returns ◽  
Expected Stock Returns

Consumption, Aggregate Wealth, and Expected Stock Returns

CFA Digest ◽  
2002 ◽  
Vol 32 (1) ◽  
pp. 52-53
Author(s):  
Johann U. de Villiers
Keyword(s):  
Stock Returns ◽  
Expected Stock Returns ◽  
Aggregate Wealth
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