Downside beta and the cross section of equity returns: A decade later
重新检验下行贝塔与美国股票收益的关系，发现原结论在加权收益或控制其他因素后不成立，扩展样本后仍无下行风险溢价。
Abstract This study reexamines the relation between downside beta and equity returns in the United States. First, we replicate the 2006 work of Ang, Chen, and Xing who find a positive relation between downside beta and future equity returns for equal‐weighted portfolios of NYSE stocks. We show that this relation doesn't hold after using value‐weighted returns or controlling for various return determinants. We also extend the original sample, add AMEX/NASDAQ stocks or utilize alternative downside beta measures and still find no downside risk premium. We focus on factor analysis results, persistence of downside beta, and various subsamples to understand the economic reasons behind the findings.