Please use this identifier to cite or link to this item: https://rda.sliit.lk/handle/123456789/692
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dc.contributor.authorAlles, L. A-
dc.contributor.authorMurray, L-
dc.date.accessioned2022-01-18T06:02:33Z-
dc.date.available2022-01-18T06:02:33Z-
dc.date.issued2017-09-14-
dc.identifier.citationLakshman Alles & Louis Murray (2017) Asset pricing and downside risk in the Australian share market, Applied Economics, 49:43, 4336-4350, DOI: 10.1080/00036846.2017.1282143en_US
dc.identifier.issn0003-6846-
dc.identifier.urihttp://localhost:80/handle/123456789/692-
dc.description.abstractAs downside risk has been identified as a separate risk exposure to investors, we investigate whether downside beta and co-skewness exposure impact on the return to investors in Australian equities. Although considered as a developed market, the Australian Securities Exchange merits separate investigation, as it is small and concentrated on some sectors, when compared with the major developed markets. As realized returns are a proxy for expected returns, we separately examine conditional returns in upturn and downturn periods. We find that both downside risks are separately priced by investors, and that our results are unaffected by the inclusion of a range of company characteristics. We subsequently confirm that returns to each downside risk are not related. In robustness tests, we conclude that the return to downside risk cannot be explained by a size, a value, or a momentum premium. Although it also has explanatory power, the inclusion of a leverage factor also does not reduce the explanatory power of downside risk.en_US
dc.language.isoenen_US
dc.publisherRoutledgeen_US
dc.relation.ispartofseriesApplied Economics;Vol 49 Issue 43 Pages 4336-4350-
dc.subjectAsset pricingen_US
dc.subjectdownside risken_US
dc.subjectAustralian equity marketen_US
dc.subjectrisk exposure and returnsen_US
dc.titleAsset pricing and downside risk in the Australian share marketen_US
dc.typeArticleen_US
dc.identifier.doihttps://doi.org/10.1080/00036846.2017.1282143en_US
Appears in Collections:Research Papers - SLIIT Staff Publications

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