{"id":"https://openalex.org/W2162178901","doi":"https://doi.org/10.3233/af-2011-008","title":"The Impact of Asymmetry on Expected Stock Returns: An Investigation of Alternative Risk Measures","display_name":"The Impact of Asymmetry on Expected Stock Returns: An Investigation of Alternative Risk Measures","publication_year":2012,"publication_date":"2012-08-02","ids":{"openalex":"https://openalex.org/W2162178901","doi":"https://doi.org/10.3233/af-2011-008","mag":"2162178901"},"language":"en","primary_location":{"id":"doi:10.3233/af-2011-008","is_oa":false,"landing_page_url":"https://doi.org/10.3233/af-2011-008","pdf_url":null,"source":{"id":"https://openalex.org/S4210198154","display_name":"Algorithmic Finance","issn_l":"2157-6203","issn":["2157-6203","2158-5571"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310318577","host_organization_name":"IOS Press","host_organization_lineage":["https://openalex.org/P4310318577"],"host_organization_lineage_names":["IOS Press"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Algorithmic Finance","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID2159881_code1540690.pdf?abstractid=2156209&mirid=4","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5013253774","display_name":"Stephen Phillip Huffman","orcid":null},"institutions":[{"id":"https://openalex.org/I64185308","display_name":"University of Wisconsin\u2013Oshkosh","ror":"https://ror.org/05w22af52","country_code":"US","type":"education","lineage":["https://openalex.org/I64185308"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Stephen P. Huffman","raw_affiliation_strings":["Department of Finance and Business Law, College of Business, University of Wisconsin Oshkosh, Oshkosh, WI, USA","University Of Wisconsin-Oshkosh"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Finance and Business Law, College of Business, University of Wisconsin Oshkosh, Oshkosh, WI, USA","institution_ids":["https://openalex.org/I64185308"]},{"raw_affiliation_string":"University Of Wisconsin-Oshkosh","institution_ids":["https://openalex.org/I64185308"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5069003077","display_name":"Cliff R. Moll","orcid":null},"institutions":[{"id":"https://openalex.org/I64185308","display_name":"University of Wisconsin\u2013Oshkosh","ror":"https://ror.org/05w22af52","country_code":"US","type":"education","lineage":["https://openalex.org/I64185308"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Cliff R. Moll","raw_affiliation_strings":["Department of Finance and Business Law, College of Business, University of Wisconsin Oshkosh, Oshkosh, WI, USA","University Of Wisconsin-Oshkosh"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Finance and Business Law, College of Business, University of Wisconsin Oshkosh, Oshkosh, WI, USA","institution_ids":["https://openalex.org/I64185308"]},{"raw_affiliation_string":"University Of Wisconsin-Oshkosh","institution_ids":["https://openalex.org/I64185308"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5013253774"],"corresponding_institution_ids":["https://openalex.org/I64185308"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":1,"citation_normalized_percentile":{"value":0.2236742,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"1","issue":"2","first_page":"79","last_page":"93"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9998999834060669,"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":0.9998999834060669,"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/T10019","display_name":"Corporate Finance and Governance","score":0.996999979019165,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9934999942779541,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/downside-risk","display_name":"Downside risk","score":0.9503449201583862},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.5699208974838257},{"id":"https://openalex.org/keywords/tail-risk","display_name":"Tail risk","score":0.5458396673202515},{"id":"https://openalex.org/keywords/financial-risk-management","display_name":"Financial risk management","score":0.5316734313964844},{"id":"https://openalex.org/keywords/skewness","display_name":"Skewness","score":0.5175618529319763},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4960385262966156},{"id":"https://openalex.org/keywords/predictability","display_name":"Predictability","score":0.47265520691871643},{"id":"https://openalex.org/keywords/stock","display_name":"Stock (firearms)","score":0.4506266415119171},{"id":"https://openalex.org/keywords/equity","display_name":"Equity (law)","score":0.43503338098526},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.4345613718032837},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.41104137897491455},{"id":"https://openalex.org/keywords/market-risk","display_name":"Market risk","score":0.4101486802101135},{"id":"https://openalex.org/keywords/risk-management","display_name":"Risk management","score":0.3367345929145813},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.1188177764415741},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.11708903312683105},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.10451158881187439},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.08164322376251221}],"concepts":[{"id":"https://openalex.org/C2776719154","wikidata":"https://www.wikidata.org/wiki/Q1094965","display_name":"Downside risk","level":3,"score":0.9503449201583862},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5699208974838257},{"id":"https://openalex.org/C2776734221","wikidata":"https://www.wikidata.org/wiki/Q3936425","display_name":"Tail risk","level":2,"score":0.5458396673202515},{"id":"https://openalex.org/C43071985","wikidata":"https://www.wikidata.org/wiki/Q2906013","display_name":"Financial risk management","level":3,"score":0.5316734313964844},{"id":"https://openalex.org/C122342681","wikidata":"https://www.wikidata.org/wiki/Q330828","display_name":"Skewness","level":2,"score":0.5175618529319763},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4960385262966156},{"id":"https://openalex.org/C197640229","wikidata":"https://www.wikidata.org/wiki/Q2534066","display_name":"Predictability","level":2,"score":0.47265520691871643},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.4506266415119171},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.43503338098526},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.4345613718032837},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.41104137897491455},{"id":"https://openalex.org/C73858035","wikidata":"https://www.wikidata.org/wiki/Q1164550","display_name":"Market risk","level":2,"score":0.4101486802101135},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.3367345929145813},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.1188177764415741},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.11708903312683105},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.10451158881187439},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.08164322376251221},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0},{"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},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.3233/af-2011-008","is_oa":false,"landing_page_url":"https://doi.org/10.3233/af-2011-008","pdf_url":null,"source":{"id":"https://openalex.org/S4210198154","display_name":"Algorithmic Finance","issn_l":"2157-6203","issn":["2157-6203","2158-5571"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310318577","host_organization_name":"IOS Press","host_organization_lineage":["https://openalex.org/P4310318577"],"host_organization_lineage_names":["IOS Press"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Algorithmic Finance","raw_type":"journal-article"},{"id":"mag:2162178901","is_oa":true,"landing_page_url":"https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID2159881_code1540690.pdf?abstractid=2156209&mirid=4","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SSRN Electronic Journal","raw_type":null}],"best_oa_location":{"id":"mag:2162178901","is_oa":true,"landing_page_url":"https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID2159881_code1540690.pdf?abstractid=2156209&mirid=4","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SSRN Electronic Journal","raw_type":null},"sustainable_development_goals":[{"score":0.4699999988079071,"display_name":"Partnerships for the goals","id":"https://metadata.un.org/sdg/17"}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":22,"referenced_works":["https://openalex.org/W1934559266","https://openalex.org/W1963593775","https://openalex.org/W1993821751","https://openalex.org/W1995834279","https://openalex.org/W2010911893","https://openalex.org/W2022890324","https://openalex.org/W2042941394","https://openalex.org/W2059229600","https://openalex.org/W2091892261","https://openalex.org/W2102011839","https://openalex.org/W2104795328","https://openalex.org/W2116347131","https://openalex.org/W2117178635","https://openalex.org/W2120557972","https://openalex.org/W2128778916","https://openalex.org/W2141679668","https://openalex.org/W2166215547","https://openalex.org/W2168697269","https://openalex.org/W2331592359","https://openalex.org/W3123663601","https://openalex.org/W3125469568","https://openalex.org/W3126060458"],"related_works":["https://openalex.org/W2097017827","https://openalex.org/W3125539142","https://openalex.org/W2887095162","https://openalex.org/W2963435549","https://openalex.org/W3121734711","https://openalex.org/W1977232876","https://openalex.org/W2274080400","https://openalex.org/W2762120982","https://openalex.org/W3123056115","https://openalex.org/W3126091512","https://openalex.org/W1995474631","https://openalex.org/W3187767324","https://openalex.org/W2809142433","https://openalex.org/W2622113120","https://openalex.org/W3121959270","https://openalex.org/W2952372509","https://openalex.org/W2772195964","https://openalex.org/W3124281986","https://openalex.org/W2332887875","https://openalex.org/W2963707254"],"abstract_inverted_index":{"We":[0,120],"investigate":[1,69],"the":[2,19,60,70,88,94,98,102,138,182,213],"relation":[3,61],"between":[4,62],"various":[5],"alternative":[6],"risk":[7,41,66,79,91,110,113,152,169,198],"measures":[8,67,82,132,227],"and":[9,32,49,65,68,196,204,225],"future":[10,63,105,118,146,175],"daily":[11],"returns":[12,27,64],"using":[13,222],"a":[14,114,171,218],"sample":[15],"of":[16,83,90,97,104,117,133,174,184,192,228],"firms":[17],"over":[18],"1988-2009":[20],"time":[21],"period.":[22],"Previous":[23],"research":[24],"indicates":[25],"that":[26,33,158],"are":[28,142,160,179,208],"not":[29],"normally":[30],"distributed":[31],"investors":[34,75,124,159],"seem":[35,125],"to":[36,126,153,181,212],"care":[37],"more":[38,161],"about":[39,163],"downside":[40,112,134,151,164,168,202],"than":[42],"total":[43,78,130,224],"risk.":[44,165,229],"Motivated":[45],"by":[46],"these":[47],"findings":[48,207],"mixed":[50],"empirical":[51],"evidence":[52],"supporting":[53],"theoretical":[54],"positive":[55,219],"risk-return":[56,220],"relationship,":[57,221],"we":[58,156,216],"model":[59],"following":[71],"questions:":[72],"(1)":[73],"Are":[74],"compensated":[76,128],"for":[77,129],"and/or":[80],"asymmetric":[81,226],"risk?":[84],"(2)":[85],"How":[86],"does":[87],"degree":[89],"aversion":[92],"in":[93],"lower":[95,139],"tail":[96],"return":[99],"distribution":[100],"impact":[101],"predictability":[103],"returns?":[106,119],"(3)":[107],"Is":[108],"upside":[109,154],"or":[111],"better":[115,143,172],"predictor":[116,173],"find":[121,157],"that,":[122],"although":[123],"be":[127],"risk,":[131,135,155],"such":[136],"as":[137,215],"partial":[140],"moment,":[141],"at":[144],"explaining":[145],"returns.":[147,176],"Further,":[148],"when":[149],"comparing":[150],"concerned":[162],"That":[166],"is,":[167],"is":[170],"Our":[177,206],"results":[178],"robust":[180],"addition":[183],"traditional":[185],"control":[186],"variables,":[187],"including":[188,200],"size,":[189],"book-to-market":[190],"ratio":[191],"equity":[193],"(B/M),":[194],"leverage,":[195],"market":[197],"measures,":[199],"beta,":[201],"beta":[203],"co-skewness.":[205],"an":[209],"important":[210],"contribution":[211],"literature":[214],"document":[217],"both":[223]},"counts_by_year":[],"updated_date":"2026-05-21T06:26:12.895304","created_date":"2025-10-10T00:00:00"}
