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    Rewards for Downside Risk in Asian Markets

    192027_192027.pdf (287.6Kb)
    Access Status
    Open access
    Authors
    Alles, Lakshman
    Murray, L.
    Date
    2013
    Type
    Journal Article
    
    Metadata
    Show full item record
    Citation
    Alles, Lakshman and Murray, Louis. 2013. Rewards for Downside Risk in Asian Markets. Journal of Banking and Finance. 37 (7): pp. 2501-2509.
    Source Title
    Journal of Banking and Finance
    DOI
    10.1016/j.jbankfin.2013.02.006
    ISSN
    0378-4266
    Remarks

    NOTICE: this is the author’s version of a work that was accepted for publication in Journal of Banking and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Banking and Finance, Volume 37, Issue 7, July 2013, Pages 2501-2509. http://dx.doi.org/10.1016/j.jbankfin.2013.02.006

    URI
    http://hdl.handle.net/20.500.11937/48070
    Collection
    • Curtin Research Publications
    Abstract

    Distributional properties of emerging market returns may impact on investor ability and willingness to diversify. Investors may also place greater weighting on downside losses, compared to upside gains. Using individual equities in a range of emerging Asian markets, we investigate the potential contribution of downside risk measures to explain asset pricing in these markets. As realized returns are used as a proxy for expected returns, we separately examine conditional returns in upturn and downturn periods, in order to successfully identify risk and return relationships. Results indicate that co-skewness and downside beta are priced by investors. Further testing confirms a separate premium for each measure, confirming that they capture different aspects of downside risk. Robustness tests indicate that, when combined with other risk measures, both retain their explanatory power. Tests also indicate that co-skewness may be the more robust measure.

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