Analysis of the Persistence of the Negative Relationship between Downside Risk and Expected Excess Returns in Future

AbstractIn risky situations, people's behavioral biases may lead them to deviate from rational decisions  leading to a negative relationship anomaly between risk and return. Investors underreact the stock with a recently negative return (exposed to downside risk) resulting in a negative return...

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Bibliographic Details

Published in:	Journal of Asset Management and Financing
Main Authors:	Mahshid Shahrzadi, Darush Foroghi
Format:	Article
Language:	Persian
Published:	University of Isfahan 2022-03-01
Subjects:	usual downside risk unusual downside risk expected excess return idiosyncratic volatility
Online Access:	https://amf.ui.ac.ir/article_25634_b29cfe8fb1311416c5300795f3c7bde4.pdf