Implications of downside beta in Asian markets
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 explanator...
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2010
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sg-ntu-dr.10356-212382023-05-19T07:23:07Z Implications of downside beta in Asian markets Chong, Yao Long Xu, Cheng Cheng Suwanto Freddy Charlie Charoenwong Nanyang Business School DRNTU::Business::Finance::Stock exchanges 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. BUSINESS 2010-03-23T08:11:07Z 2010-03-23T08:11:07Z 2010 2010 Final Year Project (FYP) http://hdl.handle.net/10356/21238 en Nanyang Technological University 26 p. application/pdf |
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NTU Library |
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Asia |
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Singapore Singapore |
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NTU Library |
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English |
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DRNTU::Business::Finance::Stock exchanges |
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DRNTU::Business::Finance::Stock exchanges Chong, Yao Long Xu, Cheng Cheng Suwanto Freddy Implications of downside beta in Asian markets |
| description |
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. |
| author2 |
Charlie Charoenwong |
| author_facet |
Charlie Charoenwong Chong, Yao Long Xu, Cheng Cheng Suwanto Freddy |
| format |
Final Year Project |
| author |
Chong, Yao Long Xu, Cheng Cheng Suwanto Freddy |
| author_sort |
Chong, Yao Long |
| title |
Implications of downside beta in Asian markets |
| title_short |
Implications of downside beta in Asian markets |
| title_full |
Implications of downside beta in Asian markets |
| title_fullStr |
Implications of downside beta in Asian markets |
| title_full_unstemmed |
Implications of downside beta in Asian markets |
| title_sort |
implications of downside beta in asian markets |
| publishDate |
2010 |
| url |
http://hdl.handle.net/10356/21238 |
| _version_ |
1770565168818814976 |