Does downside risk matter more in asset pricing? Evidence from China

Heba Ali

Emerging Markets Review, 2019, vol. 39, issue C, 154-174

Abstract: This study examines if downside risk matters in asset pricing. Using a comprehensive sample of 3658 companies listed on the Chinese stock market from 1998 to 2017, evidence shows a positive reward for holding stocks with high downside risk, and this reward is not explained by other cross-sectional effects and remains robust across robustness tests. Downside beta is also found to be useful in the implementation of successful trading strategies in the medium and long term. By contrast, mixed results are found on the premiums robustness of total risk and semi-deviation, while no evidence of beta effect could be found.

Keywords: Systemic risk; Downside risk; Stock returns; Asset pricing; Portfolio investment (search for similar items in EconPapers)
JEL-codes: G10 G12 G32 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:39:y:2019:i:c:p:154-174

DOI: 10.1016/j.ememar.2019.05.001

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