Essays about: "downside beta"

Found 4 essays containing the words downside beta.

  1. 1. Downside risk: is downside risk being priced in the U.S. stock market?

    University essay from

    Author : Raouf Bahsoun; Arsalan Hakimi; [2020-07-06]
    Keywords : Excess kurtosis; skewness; Value-at-Risk; Expected shortfall; semi deviation; downside beta; Sortino ratio; Fama-French three-factor model; Fama French Five Factor model; Carhart four-factor model; q-four factor model; q-five factor model; asset pricing; U.S. stock market;

    Abstract : This paper aims to add further research to the field of downside risk, and downside risk measures’ influence on the average returns in the U.S. stock market. READ MORE

  3. 2. Beta Based Portfolio Construction: : Stock Selection Based on Upside- and Downside Market Risk

    University essay from Örebro universitet/Handelshögskolan vid Örebro Universitet

    Author : Andreas Johansson; Robin Petersson; [2018]
    Keywords : ;

    Abstract : .... READ MORE

  4. 3. The Inconvenient Truth of the Downside Beta

    University essay from Göteborgs universitet/Graduate School

    Author : Mikael Ahlstedt; Jonatan Stål; [2015-07-13]
    Keywords : ;

    Abstract : In this thesis, we perform a robustness test of the interesting ndings by in particular Artavanis (2013), but also Ang et al. (2006) and others, who nd evidence that a downside beta outperforms the CAPM beta in its ability to explain excess stock returns in a test developed by Fama and French (1992). READ MORE

  5. 4. Mathematical modeling of insulin response in encapsulated islets of Langerhans

    University essay from Uppsala universitet/Institutionen för biologisk grundutbildning

    Author : Mattias Lundén; [2014]
    Keywords : Encapsulation; glucose; insulin; secretion; islets; Type 1 diabetes mellitus;

    Abstract : Transplantation of the islets of Langerhans is a promising technique for restoring the impairedinsulin production in brittle type 1 diabetics. The downside is that the patient will have to takeimmunosuppressant drugs in order to protect the islet cells from the immune system. READ MORE