Publicação
Normal and extreme market betas
| Resumo: | CAPM is one of the first models created to explain returns. However, previous literature shows that the model fails to account correctly for risk. Recent researchers suggest that using downside risk is an improvement over the CAPM. My work generalizes the idea of asymmetric beta using alternative thresholds. For this study, I first replicate previous results to show that indeed downside risk provides an improvement of results, and then construct portfolios to see whether the new extreme betas defined work better than those simple downside / upside betas. However, the new methodology does not improve the downside risk model. |
|---|---|
| Autores principais: | Jin, David |
| Assunto: | CAPM Beta Downside risk Extreme market conditions |
| Ano: | 2018 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade Nova de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório Institucional da UNL |
| _version_ | 1868414470037962752 |
|---|---|
| author | Jin, David |
| author_facet | Jin, David |
| author_role | author |
| contributor_name_str_mv | Anjos, Fernando RUN |
| country_str | PT |
| creators_json_txt | [{\"Person.name\":\"Jin, David\"}] |
| datacite.contributors.contributor.contributorName.fl_str_mv | Anjos, Fernando RUN |
| datacite.creators.creator.creatorName.fl_str_mv | Jin, David |
| datacite.date.Accepted.fl_str_mv | 2018-06-04T00:00:00Z |
| datacite.date.available.fl_str_mv | 2018-10-22T11:41:22Z |
| datacite.date.embargoed.fl_str_mv | 2018-10-22T11:41:22Z |
| datacite.rights.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| datacite.subjects.subject.fl_str_mv | CAPM Beta Downside risk Extreme market conditions |
| datacite.titles.title.fl_str_mv | Normal and extreme market betas |
| dc.contributor.none.fl_str_mv | Anjos, Fernando RUN |
| dc.creator.none.fl_str_mv | Jin, David |
| dc.date.Accepted.fl_str_mv | 2018-06-04T00:00:00Z |
| dc.date.available.fl_str_mv | 2018-10-22T11:41:22Z |
| dc.date.embargoed.fl_str_mv | 2018-10-22T11:41:22Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | http://hdl.handle.net/10362/49545 |
| dc.language.none.fl_str_mv | eng |
| dc.rights.none.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| dc.subject.none.fl_str_mv | CAPM Beta Downside risk Extreme market conditions |
| dc.title.fl_str_mv | Normal and extreme market betas |
| dc.type.none.fl_str_mv | http://purl.org/coar/resource_type/c_bdcc |
| description | CAPM is one of the first models created to explain returns. However, previous literature shows that the model fails to account correctly for risk. Recent researchers suggest that using downside risk is an improvement over the CAPM. My work generalizes the idea of asymmetric beta using alternative thresholds. For this study, I first replicate previous results to show that indeed downside risk provides an improvement of results, and then construct portfolios to see whether the new extreme betas defined work better than those simple downside / upside betas. However, the new methodology does not improve the downside risk model. |
| dirty | 0 |
| eu_rights_str_mv | openAccess |
| format | masterThesis |
| fulltext.url.fl_str_mv | https://run.unl.pt/bitstreams/600c09d8-0a61-417a-aa97-e7a6d2ba7c1e/download |
| id | run_c0fe0629889c19b248c8b974fe8ddd8f |
| identifier.url.fl_str_mv | http://hdl.handle.net/10362/49545 |
| instacron_str | unl |
| institution | Universidade Nova de Lisboa |
| instname_str | Universidade Nova de Lisboa |
| language | eng |
| network_acronym_str | run |
| network_name_str | Repositório Institucional da UNL |
| oai_identifier_str | oai:run.unl.pt:10362/49545 |
| organization_str_mv | urn:organizationAcronym:unl |
| person_str_mv | Jin, David |
| publishDate | 2018 |
| reponame_str | Repositório Institucional da UNL |
| repository_id_str | urn:repositoryAcronym:run |
| service_str_mv | urn:repositoryAcronym:run |
| spelling | engpt_PTCAPM is one of the first models created to explain returns. However, previous literature shows that the model fails to account correctly for risk. Recent researchers suggest that using downside risk is an improvement over the CAPM. My work generalizes the idea of asymmetric beta using alternative thresholds. For this study, I first replicate previous results to show that indeed downside risk provides an improvement of results, and then construct portfolios to see whether the new extreme betas defined work better than those simple downside / upside betas. However, the new methodology does not improve the downside risk model.application/pdfpt_PTNormal and extreme market betasJin, DavidAnjos, FernandoHostingInstitutionOrganizationalRUNe-mailmailto:run@unl.ptrun@unl.ptURNurn:tid:2019751902018-10-22T11:41:22Z2018-06-042018-06-04T00:00:00ZHandlehttp://hdl.handle.net/10362/49545http://purl.org/coar/access_right/c_abf2open accessCAPMBetaDownside riskExtreme market conditions420565 bytesliteraturehttp://purl.org/coar/resource_type/c_bdccmaster thesishttp://purl.org/coar/access_right/c_abf2application/pdffulltexthttps://run.unl.pt/bitstreams/600c09d8-0a61-417a-aa97-e7a6d2ba7c1e/download |
| spellingShingle | Normal and extreme market betas Jin, David CAPM Beta Downside risk Extreme market conditions |
| status | SINGLETON |
| subject.fl_str_mv | CAPM Beta Downside risk Extreme market conditions |
| title | Normal and extreme market betas |
| title_full | Normal and extreme market betas |
| title_fullStr | Normal and extreme market betas |
| title_full_unstemmed | Normal and extreme market betas |
| title_short | Normal and extreme market betas |
| title_sort | Normal and extreme market betas |
| topic | CAPM Beta Downside risk Extreme market conditions |
| topic_facet | CAPM Beta Downside risk Extreme market conditions |
| url | http://hdl.handle.net/10362/49545 |
| visible | 1 |