Downside risk of international stock returns

V. Galsband

Research output: Contribution to JournalArticleAcademicpeer-review

Abstract

This paper investigates the downside risk exposure of international stock returns in 14 major industrialized economies around the world. For the period 1975-2010, we find that differences in returns on value and growth portfolios can be rationalized by assets' reagibilities to market's downside shocks. International value stocks are particularly sensitive to market's permanent downside shocks, while international growth stocks are particularly sensitive to market's temporary downside shocks. In line with recent evidence for the US, risk associated with unfavorable changes in market's cash-flow innovations carries a premium which is pervasive and statistically significant. © 2012 Elsevier B.V.
Original languageEnglish
Pages (from-to)2379-2388
JournalJournal of Banking and Finance
Volume2012
DOIs
Publication statusPublished - 2012

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