Economic significance of downside risk in developed and emerging markets

Don Galagedera

Applied Economics Letters, 2009, vol. 16, issue 16, 1627-1632

Abstract: This study examines in the cross-section the association between excess return and systematic risk measured in the downside framework. Two measures of risk in the downside; downside beta and downside co-skewness are investigated. Both downside risk measures perform poorly compared to the CAPM beta in developed markets. In emerging markets there is evidence to suggest that downside co-skewness may be a better measure of risk compared to the CAPM beta and downside beta.

Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:16:y:2009:i:16:p:1627-1632

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DOI: 10.1080/13504850701604060

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