The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.
Downside Risk
Abstract
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. (JEL C12, C15, C32, G12)
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Citations
Cites
Prospect Theory: An Analysis of Decision under Risk
Kahneman, D., & Tversky, A. (1979) · Econometrica · doi:10.2307/1914185 · Cited by 48,524
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
JEGADEESH, N., & TITMAN, S. (1993) · The Journal of Finance · doi:10.1111/j.1540-6261.1993.tb04702.x · Cited by 11,584
Cited by
… and the Cross-Section of Expected Returns
Harvey, C. R., Liu, Y., & Zhu, H. (2016) · Review of Financial Studies · doi:10.1093/rfs/hhv059 · Cited by 2,119
The Sum of All FEARS Investor Sentiment and Asset Prices
Da, Z., Engelberg, J., & Gao, P. (2015) · Review of Financial Studies · doi:10.1093/rfs/hhu072 · Cited by 1,379
Hou, K., Xue, C., & Zhang, L. (2020) · The Review of Financial Studies · doi:10.1093/rfs/hhy131 · Cited by 989
Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility
Patton, A. J., & Sheppard, K. (2015) · Review of Economics and Statistics · doi:10.1162/rest_a_00503 · Cited by 769
Marketing and Firm Value: Metrics, Methods, Findings, and Future Directions
Srinivasan, S., & Hanssens, D. M. (2018) · Long-Term Impact of Marketing · doi:10.1142/9789813229808_0012 · Cited by 718
Metadata
- Authors
- Ang, A., Chen, J., & Xing, Y.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 2006
- Volume
- 19
- Issue
- 4
- Pages
- 1191-1239
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W4254389086
- Cited by
- 1,033
- References
- 3
- FWCI
- 32.36
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
