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

Yigit Atilgan, K. Ozgur Demirtas and A. Doruk Gunaydin

European Financial Management, 2020, vol. 26, issue 2, 316-347

Abstract: This study reexamines the relation between downside beta and equity returns in the United States. First, we replicate the 2006 work of Ang, Chen, and Xing 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.

Date: 2020
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://doi.org/10.1111/eufm.12258

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:eufman:v:26:y:2020:i:2:p:316-347

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1354-7798

Access Statistics for this article

European Financial Management is currently edited by John Doukas

More articles in European Financial Management from European Financial Management Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().