Downside Risk
发现投资者更在意下行损失，股票回报中存在每年约6%的下行风险溢价，与市场下跌时高度相关的股票平均回报更高，且该溢价无法被市场贝塔、协偏度、流动性风险或规模价值动量等解释。
Economists have long recognized that investors care differently about downside losses versus upside gains. Agents who place greater weight on downside risk demand additional compensation for holding stocks with high sensitivities to downside market movements. We show that the cross section of stock returns reflects a downside risk premium of approximately 6% per annum. Stocks that covary strongly with the market during market declines have high average returns. The reward for beasring downside risk is not simply compensation for regular market beta, nor is it explained by coskewness or liquidity risk, or by size, value, and momentum characteristics. Copyright 2006, Oxford University Press.