This paper investigates whether investors can earn higher profits by holding
cryptocurrencies with higher downside risk. Both portfolio-level analyses and cryptocurrency …

We examine the interdependence of systematic risk in twenty emerging market economies.
The interdependence structures are performed for subregional and regional categorizations …

We propose a new decomposition of the traditional market beta into four semi betas that
depend on the signed covariation between the market and individual asset returns. We …

We studied the relationship between expected returns and thirteen risk measures, namely
Expected Loss, Value at Risk, Expected Shortfall, Expectile Value at Risk, Entropic …

A number of studies have found that the cross-section of stock returns reflects a risk premium
for bearing downside beta; however, existing measures of downside beta have poor power …

Purpose Many studies have shown that from a theoretical and empirical point of view,
downside risk-based measures of risk are better than the traditional ones. Despite academic …

This study examines whether downside risk matters in the Indian equity market. We observe
a strong negative relationship between standard variance-based risk measures (variance …

We propose a new decomposition of the traditional market beta into four semibetas
depending on the signed covariation between the market and individual asset returns …

The purpose of this paper is to establish and estimate the extent of the volatility anomaly
(VA). We examine the impact of the beta, variance, relative-beta, and relative-variance …

We examine the pricing of tail risk for 43,000 stocks from 46 countries between 1995 and
2013. We decompose tail risks into those with respect to local and global market returns and …