Downside risk

被引：588

作者：

Ang, Andrew ^{[1
]}

Chen, Joseph

Xing, Yuhang

机构：

[1] Columbia Univ, Sch Business, New York, NY 10027 USA

[2] NBER, Cambridge, MA 02138 USA

[3] Univ So Calif, Los Angeles, CA 90089 USA

[4] Rice Univ, Houston, TX 77251 USA

来源：

REVIEW OF FINANCIAL STUDIES | 2006年 / 19卷 / 04期

关键词：

D O I：

10.1093/rfs/hhj035

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Economists have long recognized that investors care differently about downside losses versus upside gains. Agents who place greater weight on downside risk demand additional compensation for holding stocks with high sensitivities to downside market movements. We show that the cross section of stock returns reflects a downside risk premium of approximately 6% per annum. Stocks that covary strongly with the market during market declines have high average returns. The reward for beasring downside risk is not simply compensation for regular market beta, nor is it explained by coskewness or liquidity risk, or by size, value, and momentum characteristics.

引用

页码：1191 / 1239

页数：49

共 61 条

[51] Liquidity risk and expected stock returns [J].