Sökning: "Arsalan Hakimi"

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  1. 1. Downside risk: is downside risk being priced in the U.S. stock market?

    Kandidat-uppsats,

    Författare :Raouf Bahsoun; Arsalan Hakimi; [2020-07-06]
    Nyckelord :Excess kurtosis; skewness; Value-at-Risk; Expected shortfall; semi deviation; downside beta; Sortino ratio; Fama-French three-factor model; Fama French Five Factor model; Carhart four-factor model; q-four factor model; q-five factor model; asset pricing; U.S. stock market;

    Sammanfattning : This paper aims to add further research to the field of downside risk, and downside risk measures’ influence on the average returns in the U.S. stock market. LÄS MER