Mean-drawdown risk behavior: drawdown risk and capital asset pricing

Autor:	Mohammad Reza Tavakoli Baghdadabad, Fauzias Mat Nor, Izani Ibrahim
Jazyk:	angličtina
Rok vydání:	2013
Předmět:	Mean-maximum drawdown behavior Mean-average drawdown behavior Drawdown risk measure Maximum drawdown beta Average drawdown beta Maximum drawdown CAPM Business HF5001-6182
Zdroj:	Journal of Business Economics and Management, Vol 14, Iss 1 (2013)
Druh dokumentu:	article
ISSN:	16111699 1611-1699 2029-4433
DOI:	10.3846/16111699.2012.720593
Popis:	We develop an alternative approach based on mean-drawdown risk behavior versus the mean-variance behavior. We develop two risk measures as the maximum draw down risk and average drawdown risk to estimate two new betas and then propose two CAPM-like models. The data includes a comprehensive universe of more than 11,000 US equity-based mutual funds from first month of 2000 to third month of 2011. The evidence clearly shows superiority of the maximum and average drawdown betas and their pricing models, the maximum drawdown CAPM and the average drawdown CAPM, over the traditional beta and CAPM, respectively.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/0dbf596c0ee94f6886bd0619141efceb Zobrazit plný text záznamu View record in DOAJ Plný text ve formátu PDF