dc.contributor.authorChong, Yao Long
dc.contributor.authorXu, Cheng Cheng
dc.contributor.authorSuwanto Freddy
dc.date.accessioned2010-03-23T08:11:07Z
dc.date.available2010-03-23T08:11:07Z
dc.date.copyright2010en_US
dc.date.issued2010
dc.identifier.urihttp://hdl.handle.net/10356/21238
dc.description.abstractThis paper extends the research by Post, Vliet and Lansdorp (2009) to Singapore, South Korea, Hong Kong and Taiwan on the appropriateness of using downside beta as a measure of systematic risk. Contrary to what is found in the previous study on the US 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.en_US
dc.format.extent26 p.en_US
dc.language.isoenen_US
dc.rightsNanyang Technological University
dc.subjectDRNTU::Business::Finance::Stock exchangesen_US
dc.titleImplications of downside beta in Asian marketsen_US
dc.typeFinal Year Project (FYP)en_US
dc.contributor.supervisorCharlie Charoenwongen_US
dc.contributor.schoolCollege of Business (Nanyang Business School)en_US
dc.description.degreeBUSINESSen_US


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