Downside beta and equity returns around the world

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Atılgan, Yiğit and Bali, Turan G. and Demirtaş, Özgür and Günaydın, Ali Doruk (2018) Downside beta and equity returns around the world. Journal of Portfolio Management, 44 (7). pp. 39-54. ISSN 0095-4918 (Print) 2168-8656 (Online)

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Abstract

In this article, the authors investigate the relation between downside beta and stock returns in a global context using more than 170 million daily return observations. Contrary to the findings in the U.S. equity market, they find that downside beta does not explain the cross-sectional differences in future and contemporaneous returns in an international setting. The results are robust to using different methods to estimate downside beta, omitting the U.S. stocks from the global sample, utilizing alternative global pricing factors, and replicating the analysis for various country groupings. The empirical results of this article overturn the heavily cited finding on the relation between downside beta and equity returns.
Item Type: Article
Subjects: H Social Sciences > HG Finance > HG4501-6051 Investment, capital formation, speculation
H Social Sciences > HG Finance > HG3810-4000 Foreign exchange. International finance
Divisions: Sabancı Business School
Sabancı Business School > Accounting and Finance
Depositing User: Yiğit Atılgan
Date Deposited: 05 Aug 2019 22:14
Last Modified: 26 Apr 2022 10:04
URI: https://research.sabanciuniv.edu/id/eprint/37241

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