Downside risk of international stock returns


Atanasov, Victoria



DOI: https://doi.org/10.1016/j.jbankfin.2012.04.019
URL: https://www.researchgate.net/publication/257211687...
Additional URL: https://www.sciencedirect.com/science/article/pii/...
Document Type: Article
Year of publication: 2012
The title of a journal, publication series: Journal of Banking & Finance
Volume: 36
Issue number: 8
Page range: 2379-2388
Place of publication: Amsterdam [u.a.]
Publishing house: Elsevier
ISSN: 0378-4266 , 1872-6372
Publication language: English
Institution: Business School > ABWL u. Finanzierung (Theissen)
Subject: 330 Economics
Abstract: This paper investigates the downside risk exposure of international stock returns in 14 major industrialized economies around the world. For the period 1975–2010, we find that differences in returns on value and growth portfolios can be rationalized by assets’ reagibilities to market’s downside shocks. International value stocks are particularly sensitive to market’s permanent downside shocks, while international growth stocks are particularly sensitive to market’s temporary downside shocks. In line with recent evidence for the US, risk associated with unfavorable changes in market’s cash-flow innovations carries a premium which is pervasive and statistically significant.
Additional information: Früherer Name: Victoria Galsband

Dieser Datensatz wurde nicht während einer Tätigkeit an der Universität Mannheim veröffentlicht, dies ist eine Externe Publikation.




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Atanasov, Victoria (2012) Downside risk of international stock returns. Journal of Banking & Finance Amsterdam [u.a.] 36 8 2379-2388 [Article]


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