Capital Asset Pricing Models and Performance Measures in the Downside Risk Framework

Chokri Mamoghli and Sami Daboussi
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Chokri Mamoghli: Chokri Mamoghli, Professor of Finance, Higher Institute of Management of Tunis, Tunisia.
Sami Daboussi: Sami Daboussi (corresponding author), Assistant of Finance, Faculty of Law, Economics and Management of Jendouba, Tunisia. E-mail: daboussi_sami@yahoo.fr

Journal of Emerging Market Finance, 2010, vol. 9, issue 2, 95-130

Abstract: The purpose of this article is twofold. First, we present the capital asset pricing models and the performance measures in the downside risk framework as an alternative to traditional CAPM and to traditional performance measures, respectively. Second, we propose two new performance measures in the downside risk framework. The empirical investigation based on Morgan Stanley Capital Indices (MSCI) database of emerging markets shows that the capital asset pricing models in the downside risk framework, especially the D-CAPM, describe better the valuation of assets. The results obtained also support the Sortino ratio, the upside potential ratio and Omega measure over Sharpe ratio. Similarly, the results support our two performance measures over Treynor Index and the Jensen alpha.

Keywords: JEL Classification: G12; Adjusted Jensen alpha; Adjusted Treynor Index; asymmetric returns; downside risk; D-CAPM; MLPM model (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:emffin:v:9:y:2010:i:2:p:95-130

DOI: 10.1177/097265271000900201

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