Downside Beta and Downside Gamma: In Search for a Better Capital Asset Pricing Model

In the financial world, the importance of “downside risk” and “higher moments” has been emphasized, predominantly in developing countries such as Pakistan, for a substantial period. Consequently, this study tests four models for a suitable capital asset pricing model. These models are CAPM’s beta, b...

Full description

Bibliographic Details

Published in:	Risks
Main Authors:	Madiha Kazmi, Umara Noreen, Imran Abbas Jadoon, Attayah Shafique
Format:	Article
Language:	English
Published:	MDPI AG 2021-12-01
Subjects:	beta downside risk skewness downside skewness double sorting orthogonalizing
Online Access:	https://www.mdpi.com/2227-9091/9/12/223