TY - JOUR
T1 - Is there an intertemporal relation between downside risk and expected returns?
AU - Bali, Turan G.
AU - Demirtas, K. Ozgur
AU - Levy, Haim
PY - 2009/8
Y1 - 2009/8
N2 - This paper examines the intertemporal relation between downside risk and expected stock returns. Value at Risk (VaR), expected shortfall, and tail risk are used as measures of downside risk to determine the existence and significance of a risk-return tradeoff. We find a positive and significant relation between downside risk and the portfolio returns on NYSE/AMEX/Nasdaq stocks. VaR remains a superior measure of risk when compared with the traditional risk measures. These results are robust across different stock market indices, different measures of downside risk, loss probability levels, and after controlling for macroeconomic variables and volatility over different holding periods as originally proposed by Harrison and Zhang (1999).
AB - This paper examines the intertemporal relation between downside risk and expected stock returns. Value at Risk (VaR), expected shortfall, and tail risk are used as measures of downside risk to determine the existence and significance of a risk-return tradeoff. We find a positive and significant relation between downside risk and the portfolio returns on NYSE/AMEX/Nasdaq stocks. VaR remains a superior measure of risk when compared with the traditional risk measures. These results are robust across different stock market indices, different measures of downside risk, loss probability levels, and after controlling for macroeconomic variables and volatility over different holding periods as originally proposed by Harrison and Zhang (1999).
UR - http://www.scopus.com/inward/record.url?scp=77049123933&partnerID=8YFLogxK
U2 - 10.1017/S0022109009990159
DO - 10.1017/S0022109009990159
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AN - SCOPUS:77049123933
SN - 0022-1090
VL - 44
SP - 883
EP - 909
JO - Journal of Financial and Quantitative Analysis
JF - Journal of Financial and Quantitative Analysis
IS - 4
ER -