Normal and extreme market betas

Detalhes bibliográficos
Autor(a) principal: Jin, David
Data de Publicação: 2018
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/49545
Resumo: CAPM is one of the first models created to explain returns. However, previous literature shows that the model fails to account correctly for risk. Recent researchers suggest that using downside risk is an improvement over the CAPM. My work generalizes the idea of asymmetric beta using alternative thresholds. For this study, I first replicate previous results to show that indeed downside risk provides an improvement of results, and then construct portfolios to see whether the new extreme betas defined work better than those simple downside / upside betas. However, the new methodology does not improve the downside risk model.
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spelling Normal and extreme market betasCAPMBetaDownside riskExtreme market conditionsDomínio/Área Científica::Ciências Sociais::Economia e GestãoCAPM is one of the first models created to explain returns. However, previous literature shows that the model fails to account correctly for risk. Recent researchers suggest that using downside risk is an improvement over the CAPM. My work generalizes the idea of asymmetric beta using alternative thresholds. For this study, I first replicate previous results to show that indeed downside risk provides an improvement of results, and then construct portfolios to see whether the new extreme betas defined work better than those simple downside / upside betas. However, the new methodology does not improve the downside risk model.Anjos, FernandoRUNJin, David2018-10-22T11:41:22Z2018-06-042018-06-04T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/49545TID:201975190enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:25:12Zoai:run.unl.pt:10362/49545Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:32:14.131996Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Normal and extreme market betas
title Normal and extreme market betas
spellingShingle Normal and extreme market betas
Jin, David
CAPM
Beta
Downside risk
Extreme market conditions
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Normal and extreme market betas
title_full Normal and extreme market betas
title_fullStr Normal and extreme market betas
title_full_unstemmed Normal and extreme market betas
title_sort Normal and extreme market betas
author Jin, David
author_facet Jin, David
author_role author
dc.contributor.none.fl_str_mv Anjos, Fernando
RUN
dc.contributor.author.fl_str_mv Jin, David
dc.subject.por.fl_str_mv CAPM
Beta
Downside risk
Extreme market conditions
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic CAPM
Beta
Downside risk
Extreme market conditions
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description CAPM is one of the first models created to explain returns. However, previous literature shows that the model fails to account correctly for risk. Recent researchers suggest that using downside risk is an improvement over the CAPM. My work generalizes the idea of asymmetric beta using alternative thresholds. For this study, I first replicate previous results to show that indeed downside risk provides an improvement of results, and then construct portfolios to see whether the new extreme betas defined work better than those simple downside / upside betas. However, the new methodology does not improve the downside risk model.
publishDate 2018
dc.date.none.fl_str_mv 2018-10-22T11:41:22Z
2018-06-04
2018-06-04T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/49545
TID:201975190
url http://hdl.handle.net/10362/49545
identifier_str_mv TID:201975190
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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