{"id":"https://openalex.org/W2061301465","doi":"https://doi.org/10.1080/00036840601019075","title":"Downside risk measures and equity returns in the NYSE","display_name":"Downside risk measures and equity returns in the NYSE","publication_year":2008,"publication_date":"2008-05-12","ids":{"openalex":"https://openalex.org/W2061301465","doi":"https://doi.org/10.1080/00036840601019075","mag":"2061301465"},"language":"en","primary_location":{"id":"doi:10.1080/00036840601019075","doi":"https://doi.org/10.1080/00036840601019075","is_oa":false,"landing_page_url":"https://doi.org/10.1080/00036840601019075","pdf_url":null,"source":{"id":"https://openalex.org/S201533460","display_name":"Applied Economics","issn_l":"0003-6846","issn":["0003-6846","1466-4283"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-40","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Economics","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5066534980","display_name":"Dar-Hsin Chen","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I99613584","display_name":"National Taipei University","ror":"https://ror.org/03e29r284","country_code":"TW","type":"education","lineage":["https://openalex.org/I99613584"]}],"countries":["TW"],"is_corresponding":false,"raw_author_name":"Dar-Hsin Chen","raw_affiliation_strings":["Department of Business Administration, National Taipei University, Taiwan"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Business Administration, National Taipei University, Taiwan","institution_ids":["https://openalex.org/I99613584"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5016975105","display_name":"Chun\u2010Da Chen","orcid":"https://orcid.org/0000-0001-8527-8375","observed_orcids":["https://orcid.org/0000-0001-8527-8375"]},"institutions":[{"id":"https://openalex.org/I75256744","display_name":"Tennessee State University","ror":"https://ror.org/01fpczx89","country_code":"US","type":"education","lineage":["https://openalex.org/I75256744"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Chun-Da Chen","raw_affiliation_strings":["Department of Economics and Finance, Tennessee State University, 330 10th Ave. North, Nashville, TN 37203-3401, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics and Finance, Tennessee State University, 330 10th Ave. North, Nashville, TN 37203-3401, USA","institution_ids":["https://openalex.org/I75256744"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5100435610","display_name":"Jianguo Chen","orcid":"https://orcid.org/0000-0002-9173-7993","observed_orcids":["https://orcid.org/0000-0002-9173-7993"]},"institutions":[{"id":"https://openalex.org/I51158804","display_name":"Massey University","ror":"https://ror.org/052czxv31","country_code":"NZ","type":"education","lineage":["https://openalex.org/I51158804"]}],"countries":["NZ"],"is_corresponding":false,"raw_author_name":"Jianguo Chen","raw_affiliation_strings":["Department of Finance, Banking and Property, Massey University, New Zealand","Department of Finance, Banking & Property , Massey University , New Zealand"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Finance, Banking and Property, Massey University, New Zealand","institution_ids":["https://openalex.org/I51158804"]},{"raw_affiliation_string":"Department of Finance, Banking & Property , Massey University , New Zealand","institution_ids":["https://openalex.org/I51158804"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5016975105"],"corresponding_institution_ids":["https://openalex.org/I75256744"],"apc_list":null,"apc_paid":null,"fwci":1.1611,"has_fulltext":false,"cited_by_count":28,"citation_normalized_percentile":{"value":0.87295708,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":97},"biblio":{"volume":"41","issue":"8","first_page":"1055","last_page":"1070"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.8403000235557556,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.8403000235557556,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.12280000001192093,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.023600000888109207,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/downside-risk-measures","display_name":"downside risk measures","score":0.9599999785423279},{"id":"https://openalex.org/keywords/stock-returns","display_name":"stock returns","score":0.8939999938011169},{"id":"https://openalex.org/keywords/new-york-stock-exchange","display_name":"New York Stock Exchange","score":0.9440000057220459},{"id":"https://openalex.org/keywords/risk-premium","display_name":"risk premium","score":0.6140000224113464},{"id":"https://openalex.org/keywords/variance","display_name":"variance","score":0.7770000100135803},{"id":"https://openalex.org/keywords/beta","display_name":"beta","score":0.9829999804496765},{"id":"https://openalex.org/keywords/downside-risk","display_name":"downside risk","score":0.4650000035762787},{"id":"https://openalex.org/keywords/industry-sectors","display_name":"industry sectors","score":0.5580000281333923}],"concepts":[{"id":"https://openalex.org/C2776719154","wikidata":"https://www.wikidata.org/wiki/Q1094965","display_name":"Downside risk","level":3,"score":0.7882459163665771},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.7658957839012146},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.7213314175605774},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.5750723481178284},{"id":"https://openalex.org/C149866677","wikidata":"https://www.wikidata.org/wiki/Q5384698","display_name":"Equity risk","level":3,"score":0.4475579261779785},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3835795223712921},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.1491203010082245},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.14382055401802063},{"id":"https://openalex.org/C186027771","wikidata":"https://www.wikidata.org/wiki/Q4008379","display_name":"Valuation (finance)","level":2,"score":0.12016710638999939},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1080/00036840601019075","doi":"https://doi.org/10.1080/00036840601019075","is_oa":false,"landing_page_url":"https://doi.org/10.1080/00036840601019075","pdf_url":null,"source":{"id":"https://openalex.org/S201533460","display_name":"Applied Economics","issn_l":"0003-6846","issn":["0003-6846","1466-4283"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-40","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Economics","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:taf:applec:v:41:y:2009:i:8:p:1055-1070","doi":null,"is_oa":false,"landing_page_url":"http://www.tandfonline.com/doi/abs/10.1080/00036840601019075","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":35,"referenced_works":["https://openalex.org/W69153576","https://openalex.org/W261339735","https://openalex.org/W435741644","https://openalex.org/W637908898","https://openalex.org/W1702687445","https://openalex.org/W1800955719","https://openalex.org/W1965259217","https://openalex.org/W1982404781","https://openalex.org/W1993709375","https://openalex.org/W2005752521","https://openalex.org/W2016768531","https://openalex.org/W2020067488","https://openalex.org/W2029056003","https://openalex.org/W2031805933","https://openalex.org/W2047238193","https://openalex.org/W2048101975","https://openalex.org/W2061127747","https://openalex.org/W2067082451","https://openalex.org/W2075181176","https://openalex.org/W2085317472","https://openalex.org/W2090149618","https://openalex.org/W2115478170","https://openalex.org/W2141145477","https://openalex.org/W2151092259","https://openalex.org/W2154885543","https://openalex.org/W2156352330","https://openalex.org/W2166215547","https://openalex.org/W2169869866","https://openalex.org/W2175188600","https://openalex.org/W2262885185","https://openalex.org/W2482896810","https://openalex.org/W2606095766","https://openalex.org/W3123326355","https://openalex.org/W4230802456","https://openalex.org/W4239601824"],"related_works":["https://openalex.org/W2048101975","https://openalex.org/W7097498513","https://openalex.org/W4386013220","https://openalex.org/W4376111618","https://openalex.org/W4321614193","https://openalex.org/W1969496056","https://openalex.org/W2097017827","https://openalex.org/W2963435549","https://openalex.org/W1981916824","https://openalex.org/W2998952110"],"abstract_inverted_index":{"Although":[0],"investors":[1],"are":[2,10,85,99],"concerned":[3],"foremost":[4],"with":[5],"mean":[6,90],"and":[7,26,133],"variance,":[8],"they":[9,98],"also":[11,109],"sensitive":[12],"to":[13,30,45,87,101],"downside":[14,27,77,82,116],"risk.":[15],"In":[16],"this":[17],"article":[18],"we":[19],"employ":[20],"several":[21],"risk":[22,28,68,78,83,105,117],"variables":[23],"of":[24,114,131],"traditional":[25,67],"measures":[29,69,84,118],"evaluate":[31],"the":[32,36,63,81,89,93,103,112,115,120],"equity":[33],"returns":[34],"in":[35,43,62,119,134],"New":[37],"York":[38],"Stock":[39],"Exchange":[40],"(NYSE)":[41],"market":[42,94,122],"order":[44],"test":[46,51],"their":[47],"explaining":[48],"power.":[49],"The":[50,107],"results":[52,108],"show":[53,110],"that":[54,111],"variance":[55],"(or":[56],"SD)":[57],"is":[58,123],"better":[59],"than":[60,75],"beta":[61],"performance.":[64],"However,":[65],"those":[66],"have":[70],"almost":[71],"less":[72],"explanatory":[73],"power":[74],"total":[76],"measures,":[79],"whether":[80],"relative":[86],"zero,":[88],"return":[91,96],"or":[92],"index":[95],"when":[97],"used":[100],"predict":[102],"future":[104],"premium.":[106],"significance":[113],"NYSE":[121],"different":[124,126,129,135],"between":[125],"industry":[127],"sectors,":[128],"periods":[130],"time":[132],"individual":[136],"equities.":[137]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":4},{"year":2023,"cited_by_count":3},{"year":2022,"cited_by_count":3},{"year":2021,"cited_by_count":3},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":1},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":1},{"year":2012,"cited_by_count":2}],"updated_date":"2026-10-30T12:39:25.321706","created_date":"2016-06-24T00:00:00"}