Bear Beta or Speculative Beta?—Reconciling the Evidence on Downside Risk Premium

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Publication:5880521

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DOI10.1093/rof/rfac006zbMath1506.91168OpenAlexW4207038391MaRDI QIDQ5880521

Publication date: 3 March 2023

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/rof/rfac006

zbMATH Keywords

downside risk mispricing disagreement disaster risk low-risk anomaly option return

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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