Downside risk and asset pricing

Journal of Banking and Finance

Volumn 30, Issue 3, 2006, Pages 823-849

  Post, Thierry ^a   van Vliet, Pim ^a  

^a ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

Author keywords

Asset pricing; Downside risk; Lower partial moments; Stochastic dominance; Stock market efficiency

Indexed keywords

EID: 33644788899     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2005.06.005     Document Type: Article

References (38)

1. Ang, A., Chen, J., 2003. CAPM over the long run. Working paper, Columbia University, SSRN 346600.
2. F.D. Arditti Risk and the required return on equity Journal of Finance 22 1967 19-36
3. R.W. Banz The relationship between return and market value of common stocks Journal of Financial Economics 9 1981 3-18
4. S. Basu Investment performance of common stocks in relationship to their price-earnings ratios: A test of the efficient market hypothesis Journal of Finance 32 1977 663-682
5. V. Bawa E.B. Lindenberg Capital market equilibrium in a mean-lower partial moment framework Journal of Financial Economics 5 1977 189-200
6. J.B. Berk Necessary conditions for the CAPM Journal of Economic Theory 73 1997 245-257
7. Black, F., Jensen, M.C., Scholes, M., 1972. The capital asset pricing model: Some empirical tests. In: Studies in the Theory of Capital Markets, Praeger.
8. M.M. Carhart On persistence in mutual fund performance Journal of Finance 52 1997 57-82
9. P.L. Cooley A multidimensional analysis of institutional investor perception of risk Journal of Finance 32 1977 67-78
10. CRSP, Center for Research in Security Prices, 2001. CRPS Delisting returns, University of Chicago, Chicago.
11. R.F. Dittmar Nonlinear pricing kernels, kurtosis preference, and evidence from the cross section of equity returns Journal of Finance 57 2002 369-403
12. E.F. Fama K.R. French The cross-section of expected stock returns Journal of Finance 47 1992 427-465
13. E.F. Fama K.R. French Common risk-factors in the returns on stocks and bonds Journal of Financial Economics 33 1993 3-56
14. E.F. Fama K.R. French Multifactor explanations of asset pricing anomalies Journal of Finance 51 1996 55-84
15. E.F. Fama K.R. French The equity premium Journal of Finance 57 2002 637-659
16. I. Friend R. Westerfield Co-skewness and capital asset pricing Journal of Finance 35 1980 897-913
17. M.R. Gibbons S.A. Ross J. Shanken A test of the efficiency of a given portfolio Econometrica 57 1989 1121-1152
18. J. Hadar W.R. Russell Rules for ordering uncertain prospects American Economic Review 59 1969 25-34
19. G. Hanoch H. Levy The efficiency analysis of choices involving risk Review of Economic Studies 36 1969 335-346
20. G. Hanoch H. Levy Efficient portfolio selection with quadratic and cubic utility Journal of Business 43 1970 181-189
21. W.V. Harlow R.K.S. Rao Asset pricing in a generalized mean-lower partial moment framework: Theory and evidence Journal of Financial and Quantitative Analysis 24 1989 285-311
22. C.R. Harvey A. Siddique Conditional skewness in asset pricing tests Journal of Finance 55 2000 1263-1295
23. N. Jegadeesh S. Titman Returns to buying winners and selling losers: Implications for stock market efficiency Journal of Finance 48 1993 65-91
24. N. Jegadeesh S. Titman Profitability of momentum strategies: An evaluation of alternative explanations Journal of Finance 56 2001 699-720
25. A. Kraus R.H. Litzenberger Skewness preference and the valuation of risk assets Journal of Finance 31 1976 1085-1100
26. H. Levy Comment: A utility function depending on the first three moments Journal of Finance 24 1969 715-719
27. H. Levy G. Hanoch Relative effectiveness of efficiency criteria for portfolio selection Journal of Financial and Quantitative Analysis 5 1970 63-76
28. T. Post Empirical tests for stochastic dominance efficiency Journal of Finance 58 2003 1905-1931
29. Post, T., Versijp, P., 2004. Multivariate tests for stochastic dominance efficiency of a given portfolio the SD efficiency of a given portfolio, ERIM Research Paper, SSRN 558725. Journal of Financial and Quantitative Analysis, forthcoming.
30. K. Price B. Price T.J. Nantell Variance and lower partial moment measures of systematic risk: Some analytical and empirical results Journal of Finance 37 1982 843-855
31. M. Rubinstein An aggregation theorem for securities markets Journal of Financial Economics 1 1974 225-244
32. W. Sharpe Capital asset prices with and without negative holdings Journal of Finance 64 1991 489-509
33. T. Shumway The delisting bias in CRSP data Journal of Finance 52 1997 327-340
34. T. Shumway V.A. Warther The delisting in CRSP's Nasdaq data and its implications for the size effect Journal of Finance 54 1999 2361-2379
35. S.-C. Tsiang The rationale of the mean-standard deviation analysis, skewness preference and the demand for money American Economic Review 62 1972 354-371
36. Z. Wang Efficiency loss and constraints on portfolio holdings Journal of Financial Economics 48 1998 359-375
37. Wang, Z., Zhang, X., 2004. The role of arbitrage in the empirical evaluation of asset pricing models. Columbia University and Cornell University.
38. G.A. Whitmore Third-degree stochastic dominance American Economic Review 60 1970 457-459