A time-varying perspective on the CAPM and downside betas

Hsiu Jung Tsai, Ming Chi Chen*, Chih Yuan Yang

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

19 Citations (Scopus)

Abstract

In the current study, we focus on the capital asset pricing model (CAPM) beta and downside betas. The empirical results of market index returns in the international samples of 23 developed countries exhibit significant differences between the CAPM and downside betas, indicating that these models capture distinct risks. Considering autocorrelation variance, the DCC downside betas (HW-beta and HR-beta) more effectively explain the expected stock market returns than does the CAPM beta.

Original languageEnglish
Pages (from-to)440-454
Number of pages15
JournalInternational Review of Economics and Finance
Volume29
DOIs
Publication statusPublished - 2014 Jan
Externally publishedYes

Keywords

  • CAPM beta
  • DCC
  • Developed countries
  • Downside beta
  • Time-varying

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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