Downside and asymmtric risk measurement lends itself naturally to emerging equity markets, and offer an attractive alternative to traditional techniques.We investigate which of three models best fits the equity returns of emerging markets: CAPM, the Lower Partial Moment CAPM (LPM-CAPM), and an Asymmetric Response Model (ARM), and discuss implications for investment strategies and risk managemen...

The CAPM is still considered a first-order intellectual achievement, in spite of the current thought leaders also describing it as being “empirically vacuous” (Fama and French, 2006) or that “having a low, middle or high beta does not matter; the expected return is the same” (Ross, 1993).1 In­ deed, I would say the situation is worse, as volatility and beta are generally negatively correlated w...

CAPM augmented with liquidity and size premium in the Croatian stock market Jelena Minović & Boško Živković To cite this article: Jelena Minović & Boško Živković (2014) CAPM augmented with liquidity and size premium in the Croatian stock market, Economic Research-Ekonomska Istraživanja, 27:1, 191-206, DOI: 10.1080/1331677X.2014.952107 To link to this article: http://dx.doi.org/10.1080/1331677X....

This paper stresses the importance of assessing the risk-return trade-off faced by environmental industries in financial markets. One of the most widely-used theoretical models in finance is the conditional CAPM, which describes the conditional risk-return tradeoff in financial markets, whereby both the conditional mean return and conditional beta risk are allowed to vary over time. This paper ...

explanation relation between risk and return and capital asset pricing are concepts which is appointed as dominator and major paradigms in capital markets. so far as after offering capm by sharp & lintner, this model has been revised and criticized frequently. in this paper another version of capm has been tested versus traditional capm in tehran stock exchange. this version of capm measures se...

Academic studies show that technical trading rules would have earned substantial excess returns over long periods in foreign exchange markets. However, the approach to risk adjustment has typically been rather cursory. We examine ability of a wide range models: CAPM, quadratic downside Carhart’s 4-factor model, C-CAPM, an extended C-CAPM with durable consumption, Lustig-Verdelhan (LV) carry-tra...