The Cost of Equity in Emerging Markets: A Downside Risk Approach

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The Equity Risk Premium: Emerging versus Developed Markets (2003, unknown): “11 Precisely this observation has led Estrada [2000] to advocate using downside risk for emerging markets.”
A wavelet-based assessment of market risk: The emerging markets case (2012, background): “For the sample as a whole, the beta is slightly higher than 1 (see Table 1) in line with the findings of Estrada (2000).”
Predicting Hedge Fund Failure: A Comparison of Risk Measures (2009, unknown): “cross section of stock returns in emerging markets and the cross section of Internet stocks returns (Harvey (2000), Estrada (2000), (2004)).”
Research in Emerging Markets Finance: Looking to the Future (2002, unknown): “Second, the existence of higher moments means that we need to consider alternative models for risk (Harvey and Siddique, 2000; Harvey, 2000; Estrada, 2000).”