Is There an Intertemporal Relation between Downside Risk and Expected Returns?

By Turan G. Bali, K. Demirtas, Haim Levy. Journal of Financial and Quantitative Analysis, 2009

256 citations recorded by the source corpus.

Subfields: Finance

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Common risk factors in the cross-section of corporate bond returns (2019, background): “There is an extensive literature on risk management and VaR per se; however, only a few studies investigate the time-series or cross-sectional relation between VaR and expected returns on individual stocks or equity portfolios (e.g., Bali et al., 2009; Huang et al., 2012 ).”
Extreme Downside Risk and Expected Stock Returns (2012, unknown): “20 Finally, we adopt the approach in Bali et al. (2008) to estimate monthly VaR based on the actual empirical distribution at the 4.76% confidence level.(18) We select VaR since it is another commonly used downside risk indicator, especially among the practitioners. A positive VaR-return relation ha”
Investors’ Risk Preference Characteristics and Conditional Skewness (2014, unknown): “[28] show a significantly negative risk-return relation.”
Multifactor models and their consistency with the ICAPM (2012, unknown): “An incomplete list of recent papers includes Scruggs (1998), Whitelaw (2000), Brandt and Kang (2004), Ghysels, SantaClara, and Valkanov (2005), Guo and Whitelaw (2006), Lundblad (2007), Pástor, Sinha, and Swaminathan (2008), Bali, Demirtas, and Levy (2009), and Guo, Savickas, Wang, and Yang (2009).”