Downside risk measures and equity returns in the NYSE

Authors: Chen, Dar-Hsin¹; Chen, Chun-Da²; Chen, Jianguo³

Source: Applied Economics, Volume 41, Number 8, March 2009 , pp. 1055-1070(16)

Publisher: Routledge, part of the Taylor & Francis Group

Buy & download fulltext article:

Price: $50.43 plus tax (Refund Policy)

Abstract:

Although investors are concerned foremost with mean and variance, they are also sensitive to downside risk. In this article we employ several risk variables of traditional and downside risk measures to evaluate the equity returns in the New York Stock Exchange (NYSE) market in order to test their explaining power. The test results show that variance (or SD) is better than beta in the performance. However, those traditional risk measures have almost less explanatory power than total downside risk measures, whether the downside risk measures are relative to zero, the mean return or the market index return when they are used to predict the future risk premium. The results also show that the significance of the downside risk measures in the NYSE market is different between different industry sectors, different periods of time and in different individual equities.

Document Type: Research article

DOI: http://dx.doi.org/10.1080/00036840601019075

Affiliations: 1: Department of Business Administration, National Taipei University, Taiwan 2: Department of Economics and Finance, Tennessee State University, Nashville, TN 37203-3401, USA 3: Department of Finance, Banking and Property, Massey University, New Zealand

Publication date: 2009-03-01

More about this publication?