An accounting analysis of the risk-return relationship in bull and bear markets |
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Authors: | Moon K. Kim Badr E. Ismail |
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Affiliation: | Syracuse University, USA |
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Abstract: | This study provides evidence that accounting beta (earnings and cash flow-based) provides information consistent with the risk-return relationship in up- and down-markets. We are not able, however, to provide similar evidence using market beta. Considering that investors' ability to assess the risk-return trade-off in up- and down-markets is central to efficient portfolio formation, the results suggest that accounting data can provide appropriate measures of portfolio upside and downside risk. |
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