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Downside beta and the cross section of equity returns: a decade later

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Atılgan, Yiğit and Demirtaş, Özgür and Günaydın, Ali Doruk (2020) Downside beta and the cross section of equity returns: a decade later. European Financial Management, 26 (2). pp. 316-347. ISSN 1354-7798 (Print) 1468-036X (Online)

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Official URL: http://dx.doi.org/10.1111/eufm.12258

Abstract

This study reexamines the relation between downside beta and equity returns in the U.S. First, we replicate Ang, Chen and Xing (2006) who find a positive relation between downside beta and future equity returns for equal-weighted portfolios of NYSE stocks. We show that this relation doesn’t hold after using value-weighted returns or controlling for various return determinants. We also extend the original sample, add AMEX/NASDAQ stocks or utilize alternative downside beta measures and still find no downside risk premium. We focus on factor analysis results, persistence of downside beta and various subsamples to understand the economic reasons behind the findings.

Item Type:Article
Uncontrolled Keywords:asset pricing, downside beta, downside risk, equity returns, tail risk
Subjects:H Social Sciences > HG Finance > HG4501-6051 Investment, capital formation, speculation
ID Code:41621
Deposited By:Yiğit Atılgan
Deposited On:16 Aug 2021 22:11
Last Modified:16 Aug 2021 22:11

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