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Title: Implications of downside beta in Asian markets
Authors: Chong, Yao Long
Xu, Cheng Cheng
Suwanto Freddy
Keywords: DRNTU::Business::Finance::Stock exchanges
Issue Date: 2010
Abstract: This paper extends the research by Post, Vliet and Lansdorp (2009) to Singapore, South Korea, Hong Kong and Taiwan on the appropriateness of using downside beta as a measure of systematic risk. Contrary to what is found in the previous study on the US market, our findings suggest that the explanatory power of downside beta to the stock returns in these markets is weak. This may be due to the positive skewness of stock returns in emerging markets in Asia. In addition, sorting stocks by downside beta does not lead to the capturing of additional priced risk than sorting on regular market beta. This result remains consistent after controlling for abnormal stock returns in the calendar month of January.
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Student Reports (FYP/IA/PA/PI)

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