Reports of Beta's death have been greatly exaggerated: Beta remains a quite serviceable measure of downside risk

Journal of Portfolio Management

Volumn 22, Issue 3, 1996, Pages 36-44

  Grundy, Kevin ^a   Malkiel, Burton G ^b  

^a PRINCETON UNIVERSITY   (United States)

^b NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0030102674     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.1996.409557     Document Type: Article

References (11)

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3. Chan, Louis, and Josef Lakonishok. "Are Reports of Beta's Death Premature?" Journal of Portfolio Management, 19 (1993), pp 51-62.
4. Dreman, David. "Bye-Bye to Beta." Forbes, 30 (1992), p. 148.
5. Fama, Eugene, and Kenneth French. "The Cross-Section of Expected Stock Returns." Journal of Finance, 47 (1992), pp. 427-465.
6. Grinold, Richard C. "Is Beta Dead Again?" Financial Analysts Journal, 49 (1993), pp. 28-34.
7. Lintner, John. "The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets." Review of Economics and Statistics, 47 (1965), pp. 13-37.
8. Mossin, Jan. "Equilibrium in a Capital Asset Market." Econometrica, 34 (1966), pp. 768-783.
9. Roll, Richard. "A Critique of the Asset Pricing Theory's Tests: Part 1. On Past and Potential Testability of the Theory." Journal of Financial Economics, 4 (1977), pp. 129-176.
10. Sharpe, William F. "Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk." Journal of Finance, 19 (1964), pp. 425-442.
11. Treynor, Jack L. "How to Rate Management of Investment Funds." Harvard Business Review, 43 (1965), pp. 63-75.