Economic Significance of Downside Risk in Developed and Emerging Markets

10 Pages Posted: 7 Oct 2006

See all articles by Don U. A. Galagedera

Don U. A. Galagedera

Monash University - Department of Econometrics and Business Statistics

Date Written: October 6, 2006

Abstract

This study examines in the cross-section the association between excess return and systematic risk measured in the downside framework. Two measures of risk in the downside namely downside beta and downside co-skewness are investigated. Both these measures perform poorly in developed markets whereas in emerging markets there is evidence to suggest that downside co-skewness may be a better of risk compared to the CAPM beta and downside beta.

Keywords: Economic significance, downside beta, downside co-skewness, emerging markets, developed markets

JEL Classification: F30, G12, G15

Suggested Citation

Galagedera, Don (Tissa) U. A., Economic Significance of Downside Risk in Developed and Emerging Markets (October 6, 2006). Available at SSRN: https://ssrn.com/abstract=935194 or http://dx.doi.org/10.2139/ssrn.935194

Don (Tissa) U. A. Galagedera (Contact Author)

Monash University - Department of Econometrics and Business Statistics ( email )

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