Implications of downside beta in Asian markets

• Main Authors: Chong, Yao Long, Xu, Cheng Cheng, Suwanto Freddy
• Other Authors: Charlie Charoenwong
• Format: Final Year Project
• Language: English
• Published: 2010
• Subjects: DRNTU::Business::Finance::Stock exchanges
• Online Access: http://hdl.handle.net/10356/21238
• Institution: Nanyang Technological University

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...