Downside risk of international stock returns

Victoria Galsband

Journal of Banking & Finance, 2012, vol. 36, issue 8, 2379-2388

Abstract: This paper investigates the downside risk exposure of international stock returns in 14 major industrialized economies around the world. For the period 1975–2010, we find that differences in returns on value and growth portfolios can be rationalized by assets’ reagibilities to market’s downside shocks. International value stocks are particularly sensitive to market’s permanent downside shocks, while international growth stocks are particularly sensitive to market’s temporary downside shocks. In line with recent evidence for the US, risk associated with unfavorable changes in market’s cash-flow innovations carries a premium which is pervasive and statistically significant.

Keywords: Cash-flow news; Discount-rate news; Downside risk; Asset pricing (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:36:y:2012:i:8:p:2379-2388

DOI: 10.1016/j.jbankfin.2012.04.019

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