haku: @author Homaifar, G. / yhteensä: 4
viite: 4 / 4
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| Tekijä: | Homaifar, G. Grady, D. B. |
| Otsikko: | Variance and lower partial moment betas as alternative risk measures in cost of capital estimation: A defense of the CAMP beta |
| Lehti: | Journal of Business Finance and Accounting
1990 : WINTER, VOL. 17:5, p.677-688 |
| Asiasana: | FINANCIAL RISK RISK MEASUREMENT RATE OF RETURN CAPITAL ESTIMATION |
| Kieli: | eng |
| Tiivistelmä: | Relation is derived between variance and lower partial moment (LPM) measure of systematic risk below the target reference point. When the target rate or reference point was set at the risk-free rate, the equality of the two risk measures was obtained. Setting the target rate at a risk-free rate is unduly restrictive, since this appears to be no reason for investing in risky portfolios using the risk-free rate as a target rate of return. By moving the target rate above (below) the risk-free rate, a set of theorems about the relationship between variance and the second degree LPM measure of systematic risk was derived and tested. The second degree LPM measure of risk overestimates (underestimates) beta for below (above) average risk securities. |
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