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This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License
Article
Implications of Downside Beta: Empirical Evidence of Four Asian Tigers
Author(s)
Charlie Charoenwong, Chee Ng
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DOI:10.17265/1537-1514/2013.03.004
Affiliation(s)
Charlie Charoenwong, Associate Professor of finance, Nanyang Business School, Nanyang Technological University.
Chee Ng, Professor of finance, Economics, Finance and International Business, Fairleigh Dickinson University.
ABSTRACT
This paper uses empirical data from Singapore, South Korea, Hong Kong, and Taiwan to test the appropriateness of using downside beta as a measure of systematic risk. Contrary to what is found in the previous study on the U.S. market, our findings suggest that the explanatory power of downside beta to the stock returns in these markets is weak. This may be due to the positive skewness of stock returns in emerging markets in Asia. In addition, sorting stocks by downside beta does not lead to the capturing of additional priced risk than sorting on regular market beta. This result remains consistent after controlling for abnormal stock returns in the calendar month of January.
KEYWORDS
Sharpe-Lintner-Mossin beta, semivariance beta, asymmetric response model beta, downside covariance beta
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References
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