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Capital Asset Pricing Models and Performance Measures in the Downside Risk Framework
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The purpose of this article is twofold. First, we present the capital asset pricing models and the performance measures in the downside risk framework as an alternative to traditional CAPM and traditional performance measures respectively. Second, we develop two new performance measures in the downside risk framework. The empirical investigation based on Morgan Stanley Capital Indices MSCI database of emerging markets shows that the capital asset pricing models in the downside risk framework, especially the D-CAPM, describe better the valuation of assets. The results obtained also support the Sortino ratio, the upside potential ratio and Omega measure over Sharpe ratio. Similarly, the results support our two performance measures over Treynor index and the Jensen alpha.
Title: Capital Asset Pricing Models and Performance Measures in the Downside Risk Framework
Description:
The purpose of this article is twofold.
First, we present the capital asset pricing models and the performance measures in the downside risk framework as an alternative to traditional CAPM and traditional performance measures respectively.
Second, we develop two new performance measures in the downside risk framework.
The empirical investigation based on Morgan Stanley Capital Indices MSCI database of emerging markets shows that the capital asset pricing models in the downside risk framework, especially the D-CAPM, describe better the valuation of assets.
The results obtained also support the Sortino ratio, the upside potential ratio and Omega measure over Sharpe ratio.
Similarly, the results support our two performance measures over Treynor index and the Jensen alpha.
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