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Title

  • Downside risk

Summary

  • "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 premium for downside risk. Specifically, stocks that covary strongly with the market when the market declines have high average returns. We estimate that the downside risk premium is approximately 6% per annum. The reward for bearing downside risk is not simply compensation for regular market beta, nor is it explained by coskewness or liquidity risk, or size, book-to-market, and momentum characteristics"--National Bureau of Economic Research web site.

Names

  • Ang, Andrew
  • Chen, Joseph (Joseph Si)
  • Xing, Yuhang
  • National Bureau of Economic Research

Created / Published

  • Cambridge, MA : National Bureau of Economic Research, c2005.

Headings

  • -  Portfolio management
  • -  Rate of return
  • -  Risk management
  • -  Stock price forecasting
  • -  Stocks--Prices

Notes

  • -  Portions of this manuscript previously circulated in an earlier paper titled: Downside Correlation and Expected Stock Returns."
  • -  Title from PDF file as viewed on 12/19/2005.
  • -  Includes bibliographical references.
  • -  Also available in print.
  • -  Mode of access: World Wide Web.
  • -  System requirements: Adobe Acrobat Reader.

Call Number/Physical Location

  • HB1

Digital Id

Library of Congress Control Number

  • 2005705270

Access Advisory

  • Unrestricted online access

Online Format

  • image
  • pdf

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Cite This Item

Citations are generated automatically from bibliographic data as a convenience, and may not be complete or accurate.

Chicago citation style:

Ang, Andrew, Joseph Chen, Yuhang Xing, and National Bureau Of Economic Research. Downside Risk. Cambridge, MA: National Bureau of Economic Research, 2005. Pdf. https://aj.sunback.homes/item/2005705270/.

APA citation style:

Ang, A., Chen, J., Xing, Y. & National Bureau Of Economic Research. (2005) Downside Risk. Cambridge, MA: National Bureau of Economic Research. [Pdf] Retrieved from the Library of Congress, https://aj.sunback.homes/item/2005705270/.

MLA citation style:

Ang, Andrew, et al. Downside Risk. Cambridge, MA: National Bureau of Economic Research, 2005. Pdf. Retrieved from the Library of Congress, <aj.sunback.homes/item/2005705270/>.