PT  - JOURNAL ARTICLE
AU  - Yigit Atilgan
AU  - Turan G. Bali
AU  - K. Ozgur Demirtas
AU  - A. Doruk Gunaydin
TI  - Downside Beta and Equity Returns around the World
AID  - 10.3905/jpm.2018.1.080
DP  - 2018 Jul 13
TA  - The Journal of Portfolio Management
PG  - jpm.2018.1.080
4099  - https://pm-research.com/content/early/2018/07/13/jpm.2018.1.080.short
4100  - https://pm-research.com/content/early/2018/07/13/jpm.2018.1.080.full
AB  - In this article, the authors investigate the relation between downside beta and stock returns in a global context using more than 170 million daily return observations. Contrary to the results in the U.S. equity market, they find that downside beta does not explain the cross-sectional differences in future and contemporaneous returns in an international setting. The results are robust to using different methods to estimate downside beta, omitting the U.S. stocks from the global sample, using alternative global pricing factors, and replicating the analysis for various country groupings. The empirical results of this article overturn the heavily cited finding on the relation between downside beta and equity returns.