Mean-drawdown risk behavior

drawdown risk and capital asset pricing

Mohammad Reza Tavakoli Baghdadabad, Fauzias Mat Nor, Izani Ibrahim

    Research output: Contribution to journalArticle

    2 Citations (Scopus)

    Abstract

    We develop an alternative approach based on mean-drawdown risk behavior versus the mean-variance behavior. We develop two risk measures as the maximum draw down risk and average drawdown risk to estimate two new betas and then propose two CAPM-like models. The data includes a comprehensive universe of more than 11,000 US equity-based mutual funds from first month of 2000 to third month of 2011.The evidence clearly shows superiority of the maximum and average drawdown betas and their pricing models, the maximum drawdown CAPM and the average drawdown CAPM, over the traditional beta and CAPM, respectively.

    Original languageEnglish
    JournalJournal of Business Economics and Management
    Volume14
    Issue numberSUPPL1
    DOIs
    Publication statusPublished - 2013

    Fingerprint

    Capital asset pricing model
    Capital asset pricing
    Mutual funds
    Risk measures
    Equity
    Mean-variance

    Keywords

    • Average drawdown beta
    • Average drawdown CAPM
    • Drawdown risk measure
    • Maximum drawdown beta
    • Maximum drawdown CAPM
    • Mean-average drawdown behavior
    • Mean-maximum drawdown behavior

    ASJC Scopus subject areas

    • Business, Management and Accounting (miscellaneous)
    • Economics and Econometrics

    Cite this

    Mean-drawdown risk behavior : drawdown risk and capital asset pricing. / Tavakoli Baghdadabad, Mohammad Reza; Mat Nor, Fauzias; Ibrahim, Izani.

    In: Journal of Business Economics and Management, Vol. 14, No. SUPPL1, 2013.

    Research output: Contribution to journalArticle

    Tavakoli Baghdadabad, Mohammad Reza ; Mat Nor, Fauzias ; Ibrahim, Izani. / Mean-drawdown risk behavior : drawdown risk and capital asset pricing. In: Journal of Business Economics and Management. 2013 ; Vol. 14, No. SUPPL1.
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