| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w11824 |
| 来源ID | Working Paper 11824 |
| Downside Risk | |
| Andrew Ang; Joseph Chen; Yuhang Xing | |
| 发表日期 | 2005-12-05 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | Economists have long recognized that investors care differently about downside losses versus upside gains. Agents who place greater weight on downside risk demand additional compensation for holding stocks with high sensitivities to downside market movements. We show that the cross-section of stock returns reflects a premium for downside risk. Specifically, stocks that covary strongly with the market when the market declines have high average returns. We estimate that the downside risk premium is approximately 6% per annum. The reward for bearing downside risk is not simply compensation for regular market beta, nor is it explained by coskewness or liquidity risk, or size, book-to-market, and momentum characteristics. |
| 主题 | Econometrics ; Estimation Methods ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w11824 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/569475 |
| 推荐引用方式 GB/T 7714 | Andrew Ang,Joseph Chen,Yuhang Xing. Downside Risk. 2005. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w11824.pdf（346KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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