Research Publications Authored by SLIIT Staff

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This collection includes all SLIIT staff publications presented at external conferences and published in external journals. The materials are organized by faculty to facilitate easy retrieval.

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Author: search.filters.author.Alles, L. ASubject: search.filters.subject.downside risk

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    PublicationOpen Access
    An option pricing approach to the estimation of downside risk: A European cross-country study
    (Palgrave Macmillan UK, 2008-05) Alles, L. A
    The purpose of this paper is to undertake a comparative study of the costs of downside protection for investors in the four major European stock markets: UK, Germany, France and Italy, and to investigate the time diversification effects in these markets by examining the variation of this cost as the investment horizon is extended. The cost of downside protection and time diversification effects are investigated by examining the properties of a protective put strategy and a capital protected equity participation strategy in each country's stock market over investment horizons ranging from 1 to 20 years. Long-horizon investment outcomes are generated using a bootstrapping technique. Results indicate that the cost of downside protection differs from one country to another, but there is a common pattern of the cost decreasing as the investment horizon lengthens. In overall terms, the pattern of decreasing protection costs at longer investment horizons is consistent with the notion of the time diversification benefits of investment risk.
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    PublicationEmbargo
    Asset pricing and downside risk in the Australian share market
    (Routledge, 2017-09-14) Alles, L. A; Murray, L
    As 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.