Expected downside risk and asset prices: characteristics of emerging and developed European markets

Mihály Ormos and Dusán Timotity ()
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Dusán Timotity: Budapest University of Technology and Economics

Empirica, 2017, vol. 44, issue 3, No 7, 529-546

Abstract: Abstract This paper discusses an empirical analysis of the expected downside risk based asset-pricing model on Central and Eastern European and developed Western European markets. The investigated risk measure applies a nonparametric approach that allows getting rid of any assumption on the distribution of returns, moreover, as presented in this paper, captures risk and expected return with superior performance. Furthermore, we also show that dollar-denominated returns often indicate a better fit than regressions in local currency suggesting that international capital inflow does play an important role in asset prices. This latter finding is particularly significant on Developed European capital markets, which is in contradiction with the belief of international investors having a greater influence on emerging markets compared to developed ones.

Keywords: Expected downside risk; EDR; Asset pricing; Emerging markets; Dollar-denominated return (search for similar items in EconPapers)
JEL-codes: C53 C58 G02 G14 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s10663-016-9329-3

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