RT Journal Article
SR Electronic
T1 Downside Beta and Equity Returns around the World
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 39
OP 54
DO 10.3905/jpm.2018.1.080
VO 44
IS 7
A1 Yigit Atilgan
A1 Turan G. Bali
A1 K. Ozgur Demirtas
A1 A. Doruk Gunaydin
YR 2018
UL https://pm-research.com/content/44/7/39.abstract
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.TOPICS: Global, portfolio theory