EconPapers    
Economics at your fingertips  
 

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

Chokri Mamoghli and Sami Daboussi
Additional contact information
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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/097265271000900201 (text/html)

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:sae:emffin:v:9:y:2010:i:2:p:95-130

DOI: 10.1177/097265271000900201

Access Statistics for this article

More articles in Journal of Emerging Market Finance from Institute for Financial Management and Research
Bibliographic data for series maintained by SAGE Publications ().

 
Page updated 2025-03-19
Handle: RePEc:sae:emffin:v:9:y:2010:i:2:p:95-130