THE MYTH OF DOWNSIDE RISK BASED CAPITAL ASSET PRICING MODEL EMPIRICAL EVIDENCE FROM SOUTH ASIAN COUNTRIES

http://dx.doi.org/10.31703/gssr.2018(III-III).15      10.31703/gssr.2018(III-III).15      Published : Sep 3
Authored by : SyedAzizRasool , AdiqaKausarKiani , NoorJehan

15 Pages : 265-280

References

  • Akbar, et. Al, (2012). The Myth of Downside Risk Based CAPM: Evidence from Pakistan. Interdisciplinary Journal of Contemporary Research in Business, 6(4), pp.860-869.
  • Ang, A., Chen, J. & Xing, Y. (2001). Downside Risk and the Momentum Effect. Working Paper 8643, National Bureau of Economic Research, Massachusetts.
  • Ang, A., Chen, J. & Xing, Y. (2006). Downside Risk. Review of Financial Studies, 19, 1191-1239.
  • Artavanis, N., Diacogiannis, G. & Mylonakis, J. (2010). The D-CAPM: The Case of Great Britain and France. International Journal of Economics and Finance, 2(3), 25-38.
  • Alam,M., & Chowdhury,E. & Chowdhury,T. (2015). Application of capital asset pricing model: empirical evidences from Chittagong stock exchange. Journal of cost and management, 43(3), 38-44.
  • Bajpai, S. & Sharma, A. (2015). Capital Asset Pricing Model and Industry Effect: Evidence from Indian Market. The IUP Journal of Financial Risk Management, 12(2), 2015, pp.30-40.
  • Bawa, V. & Lindenberg, E. (1977). Capital Market Equilibrium in a Mean-Lower Partial Moment Framework. Journal of Financial Economics, 5(2), pp.189-200.
  • Cheremushkin, S. (2011). Internal Inconsistencies of Downside CAPM Models. Electronic Journal of CorporateFinance, 4(20), pp. 90-111.
  • Choudhary, K. & Choudhary, S. (2010). Testing Capital Asset Pricing Model: empirical evidence from Indian equity Market. Eurasian Journal of Business and Economics, 3(6), pp.127-138.
  • Dittmar, R. (2002). Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns. Journal of Finance. 57(1), pp.369-403.
  • Estrada J. (2000). The Cost of Equity in Emerging Markets: A Downside Risk Approach. Emerging Markets Quarterly, 4, pp. 19-30.
  • Estrada, J. (2002). Systematic Risk in Emerging Markets: the D-CAPM. Emerging Markets Review, 3, pp.365-379.
  • Fama, E. and MacBeth, J. (1973). Risk, Return and Equilibrium: Empirical Tests. The Journal of Political Economy, 81, pp.607-636.
  • Galagedera, D. & Brooks, R. (2005). Is Systematic Downside Beta Risk Really Priced? Evidence in Emerging Market Data. Working Paper 11/05, Department of Econometrics and Business Statistics, Monash University, Australia.
  • Gul, F. (1991). A Theory of Disappointment Aversion. Econometrica, 59, 3, pp.667-686.
  • Harlow, W. (1991). Asset Allocation in a Downside-Risk Framework. The Financial Analyst Journal, 47(5), pp.28-40.
  • Harlow W. & Rao K. (1989). Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory & Evidence. Journal of Financial & Quantitative Analysis, 24, pp.285-311.
  • Harvey, C. & Siddique, A. (2000).Conditional Skewness in Asset Pricing Tests. Journal of Finance, 55, 12631295.
  • Hogan, W. & Warren, J. (1974). Towards the Development of an Equilibrium Capital-Market Model Based on Semivariance. Journal of Financial & Quantitative Analysis, 9(1), pp.1-11.
  • Iqbal, J. & Brooks. R. (2007). Alternative Beta Risk Estimators and Asset Pricing Tests in Emerging Markets: the Case of Pakistan. Journal of Multinational Financial Management, 17, pp.75-93.
  • Javid, A. (2008). Time Varying Risk Return Relationship: Evidence from Listed Pakistani Firms, Journal of Scientific Research, 22(1), pp.16-39.
  • Javid, A. (2009). Test of Higher Moment Capital Asset Pricing Model in Case of Pakistani Equity Market. European Journal of Economics, Finance and Administrative Sciences, 15, pp.144-162.
  • Kahneman, D. & Tversky, A. (1979). Prospect Theory: An Analysis of Decision under Risk. Econometrica, 47, pp. 263-291.
  • Kraus, A. & Litzenberger, R. (1976). Skewness Preference and the Valuation of Risky Assets. Journal of Finance, 31(4), 1085-1094. KSE Annual Report (2011), Available at: http://www.kse.com.pk/
  • Lee, W. and Rao, R. (1988). Mean Lower Partial Moment Valuation and Lognormally Distributed Returns.Management Sciences, 34(4), pp.446-453.
  • Libby, R. & Fishburn, P. (1977). Behavioral Models of Risk Taking in Business Decisions: A Survey and Evaluation. Journal of Accounting Research, 15, pp.272-292.
  • Lintner, J. (1965). The Valuation of Risk Assets and Selection of Risky Investments in Stock Portfolios and Capital Budgets. Review of Economics and Statistics, 47, pp.13-37.
  • Markowitz, H. (1952). Portfolio Selection. The Journal of Finance, 7, pp.77-91.
  • Post, T. and Van Vliet, P. (2006). Downside Risk and Asset Pricing. Journal of Banking & Finance, 30(3), pp.823-849.
  • Richards, A. (1996). Volatility and Predictability in National Markets: How do Emerging and Mature Markets Differ? IMF Staff Papers, 43 (3), pp.461-501.
  • Rizwan, S., Shaikh, S. J., & Shehzadi, M. (2013). Validity of Capital Assets Pricing Model (CAPM): Evidence from Cement Sector of Pakistan Listed Under Karachi Stock Exchange. Kuwait Chapter of Arabian Journal of Business and Management Review, 2 (6), pp.66-81
  • Rubinstein, M. (1973). The Fundamental Theorem of Parameter Preference Security Valuation. Journal of Financial and Quantitative Analysis, 8(1), pp. 61-69.
  • Shah,N., Dars,J.,Haroon,M.A. (2015). Asset Pricing Model on conditional on up and down market for emerging market: The Case of Pakistan. European Journal of Business and Management, 7(1), pp.15-27.
  • Shaikh, S.A. (2012). Testing Capital Asset Pricing Model on KSE Stocks. Journal of Managerial Sciences, 2(2).
  • Sharpe, W. (1964). Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. Journal of Finance, 19, pp.425-442.
  • Yasmeen, et.al, (2012). The Capital Asset Pricing Model: Empirical evidence from Pakistan.MRPA paper No.41961

References

  • Akbar, et. Al, (2012). The Myth of Downside Risk Based CAPM: Evidence from Pakistan. Interdisciplinary Journal of Contemporary Research in Business, 6(4), pp.860-869.
  • Ang, A., Chen, J. & Xing, Y. (2001). Downside Risk and the Momentum Effect. Working Paper 8643, National Bureau of Economic Research, Massachusetts.
  • Ang, A., Chen, J. & Xing, Y. (2006). Downside Risk. Review of Financial Studies, 19, 1191-1239.
  • Artavanis, N., Diacogiannis, G. & Mylonakis, J. (2010). The D-CAPM: The Case of Great Britain and France. International Journal of Economics and Finance, 2(3), 25-38.
  • Alam,M., & Chowdhury,E. & Chowdhury,T. (2015). Application of capital asset pricing model: empirical evidences from Chittagong stock exchange. Journal of cost and management, 43(3), 38-44.
  • Bajpai, S. & Sharma, A. (2015). Capital Asset Pricing Model and Industry Effect: Evidence from Indian Market. The IUP Journal of Financial Risk Management, 12(2), 2015, pp.30-40.
  • Bawa, V. & Lindenberg, E. (1977). Capital Market Equilibrium in a Mean-Lower Partial Moment Framework. Journal of Financial Economics, 5(2), pp.189-200.
  • Cheremushkin, S. (2011). Internal Inconsistencies of Downside CAPM Models. Electronic Journal of CorporateFinance, 4(20), pp. 90-111.
  • Choudhary, K. & Choudhary, S. (2010). Testing Capital Asset Pricing Model: empirical evidence from Indian equity Market. Eurasian Journal of Business and Economics, 3(6), pp.127-138.
  • Dittmar, R. (2002). Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns. Journal of Finance. 57(1), pp.369-403.
  • Estrada J. (2000). The Cost of Equity in Emerging Markets: A Downside Risk Approach. Emerging Markets Quarterly, 4, pp. 19-30.
  • Estrada, J. (2002). Systematic Risk in Emerging Markets: the D-CAPM. Emerging Markets Review, 3, pp.365-379.
  • Fama, E. and MacBeth, J. (1973). Risk, Return and Equilibrium: Empirical Tests. The Journal of Political Economy, 81, pp.607-636.
  • Galagedera, D. & Brooks, R. (2005). Is Systematic Downside Beta Risk Really Priced? Evidence in Emerging Market Data. Working Paper 11/05, Department of Econometrics and Business Statistics, Monash University, Australia.
  • Gul, F. (1991). A Theory of Disappointment Aversion. Econometrica, 59, 3, pp.667-686.
  • Harlow, W. (1991). Asset Allocation in a Downside-Risk Framework. The Financial Analyst Journal, 47(5), pp.28-40.
  • Harlow W. & Rao K. (1989). Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory & Evidence. Journal of Financial & Quantitative Analysis, 24, pp.285-311.
  • Harvey, C. & Siddique, A. (2000).Conditional Skewness in Asset Pricing Tests. Journal of Finance, 55, 12631295.
  • Hogan, W. & Warren, J. (1974). Towards the Development of an Equilibrium Capital-Market Model Based on Semivariance. Journal of Financial & Quantitative Analysis, 9(1), pp.1-11.
  • Iqbal, J. & Brooks. R. (2007). Alternative Beta Risk Estimators and Asset Pricing Tests in Emerging Markets: the Case of Pakistan. Journal of Multinational Financial Management, 17, pp.75-93.
  • Javid, A. (2008). Time Varying Risk Return Relationship: Evidence from Listed Pakistani Firms, Journal of Scientific Research, 22(1), pp.16-39.
  • Javid, A. (2009). Test of Higher Moment Capital Asset Pricing Model in Case of Pakistani Equity Market. European Journal of Economics, Finance and Administrative Sciences, 15, pp.144-162.
  • Kahneman, D. & Tversky, A. (1979). Prospect Theory: An Analysis of Decision under Risk. Econometrica, 47, pp. 263-291.
  • Kraus, A. & Litzenberger, R. (1976). Skewness Preference and the Valuation of Risky Assets. Journal of Finance, 31(4), 1085-1094. KSE Annual Report (2011), Available at: http://www.kse.com.pk/
  • Lee, W. and Rao, R. (1988). Mean Lower Partial Moment Valuation and Lognormally Distributed Returns.Management Sciences, 34(4), pp.446-453.
  • Libby, R. & Fishburn, P. (1977). Behavioral Models of Risk Taking in Business Decisions: A Survey and Evaluation. Journal of Accounting Research, 15, pp.272-292.
  • Lintner, J. (1965). The Valuation of Risk Assets and Selection of Risky Investments in Stock Portfolios and Capital Budgets. Review of Economics and Statistics, 47, pp.13-37.
  • Markowitz, H. (1952). Portfolio Selection. The Journal of Finance, 7, pp.77-91.
  • Post, T. and Van Vliet, P. (2006). Downside Risk and Asset Pricing. Journal of Banking & Finance, 30(3), pp.823-849.
  • Richards, A. (1996). Volatility and Predictability in National Markets: How do Emerging and Mature Markets Differ? IMF Staff Papers, 43 (3), pp.461-501.
  • Rizwan, S., Shaikh, S. J., & Shehzadi, M. (2013). Validity of Capital Assets Pricing Model (CAPM): Evidence from Cement Sector of Pakistan Listed Under Karachi Stock Exchange. Kuwait Chapter of Arabian Journal of Business and Management Review, 2 (6), pp.66-81
  • Rubinstein, M. (1973). The Fundamental Theorem of Parameter Preference Security Valuation. Journal of Financial and Quantitative Analysis, 8(1), pp. 61-69.
  • Shah,N., Dars,J.,Haroon,M.A. (2015). Asset Pricing Model on conditional on up and down market for emerging market: The Case of Pakistan. European Journal of Business and Management, 7(1), pp.15-27.
  • Shaikh, S.A. (2012). Testing Capital Asset Pricing Model on KSE Stocks. Journal of Managerial Sciences, 2(2).
  • Sharpe, W. (1964). Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. Journal of Finance, 19, pp.425-442.
  • Yasmeen, et.al, (2012). The Capital Asset Pricing Model: Empirical evidence from Pakistan.MRPA paper No.41961

Cite this article

APA

    APA : Rasool, S. A., Kiani, A. K., & Jehan, N. (2018). The Myth of Downside Risk Based Capital Asset Pricing Model: Empirical Evidence from South Asian Countries. Global Social Sciences Review, III(III), 265-280. https://doi.org/10.31703/gssr.2018(III-III).15

CHICAGO

    CHICAGO : Rasool, Syed Aziz, Adiqa Kausar Kiani, and Noor Jehan. 2018. "The Myth of Downside Risk Based Capital Asset Pricing Model: Empirical Evidence from South Asian Countries." Global Social Sciences Review, III (III): 265-280 doi: 10.31703/gssr.2018(III-III).15

HARVARD

    HARVARD : RASOOL, S. A., KIANI, A. K. & JEHAN, N. 2018. The Myth of Downside Risk Based Capital Asset Pricing Model: Empirical Evidence from South Asian Countries. Global Social Sciences Review, III, 265-280.

MHRA

    MHRA : Rasool, Syed Aziz, Adiqa Kausar Kiani, and Noor Jehan. 2018. "The Myth of Downside Risk Based Capital Asset Pricing Model: Empirical Evidence from South Asian Countries." Global Social Sciences Review, III: 265-280

MLA

    MLA : Rasool, Syed Aziz, Adiqa Kausar Kiani, and Noor Jehan. "The Myth of Downside Risk Based Capital Asset Pricing Model: Empirical Evidence from South Asian Countries." Global Social Sciences Review, III.III (2018): 265-280 Print.

OXFORD

    OXFORD : Rasool, Syed Aziz, Kiani, Adiqa Kausar, and Jehan, Noor (2018), "The Myth of Downside Risk Based Capital Asset Pricing Model: Empirical Evidence from South Asian Countries", Global Social Sciences Review, III (III), 265-280

TURABIAN

    TURABIAN : Rasool, Syed Aziz, Adiqa Kausar Kiani, and Noor Jehan. "The Myth of Downside Risk Based Capital Asset Pricing Model: Empirical Evidence from South Asian Countries." Global Social Sciences Review III, no. III (2018): 265-280. https://doi.org/10.31703/gssr.2018(III-III).15