{"id":51424,"date":"2023-12-01T17:37:37","date_gmt":"2023-12-01T16:37:37","guid":{"rendered":"https:\/\/www.wifo.ac.at\/publication\/expected-downside-risk-and-asset-prices-characteristics-of-emerging-and-developed-european-markets\/"},"modified":"2025-10-22T22:14:26","modified_gmt":"2025-10-22T20:14:26","slug":"expected-downside-risk-and-asset-prices-characteristics-of-emerging-and-developed-european-markets","status":"publish","type":"publication","link":"https:\/\/www.wifo.ac.at\/en\/publication\/51424\/","title":{"rendered":"Expected downside risk and asset prices: characteristics of emerging and developed European markets"},"content":{"rendered":"","protected":false},"featured_media":0,"template":"","class_list":["post-51424","publication","type-publication","status-publish","hentry"],"acf":{"subtitle":"","text":"This paper discusses an empirical analysis of the expected downside risk based asset-pricing model on Central and Eastern European and developed Western European markets. The investigated risk measure applies a nonparametric approach that allows getting rid of any assumption on the distribution of returns, moreover, as presented in this paper, captures risk and expected return with superior performance. Furthermore, we also show that dollar-denominated returns often indicate a better fit than regressions in local currency suggesting that international capital inflow does play an important role in asset prices. This latter finding is particularly significant on developed European capital markets, which is in contradiction with the belief of international investors having a greater influence on emerging markets compared to developed ones.","onlinedate":"2017-08-01 02:00:00","lang":"English","publication_series":"","publication_date":"20170801","publication_date_year":"","publication_date_full":false,"publication_num_pages":"","keywords":"[\"Asset pricing\",\"Dollar-denominated return\",\"EDR\",\"Emerging markets\",\"Expected downside risk\"]","jelcodes":"[]","related_publications":"[]","pdf":null,"zip":null,"link":"http:\/\/www.springer.com\/10663","monthly_report":false,"monthly_report_main":false,"monthly_report_volume":"44","monthly_report_pages":"529-546","monthly_report_pages_sort":"529","issue":"3","journal":"Empirica","publisher":"","invisible":false,"external":true,"embargo_date":null,"types":[83083],"research_groups":[3491],"collaboration":"","persons":[14401,12769],"persons_data":"[{\"personId\":14401,\"personName\":\"Mih\u00e1ly Ormos\",\"organisationNames\":[]},{\"personId\":12769,\"personName\":\"Dus\u00e1n Timotity\",\"organisationNames\":[]}]","clients":[],"subclients":[],"partners":[],"topics":[],"host_publication_title":"","host_publication_subtitle":"","place_of_publication":"","host_publication_editors":"[]","type_description":"","output_media":"","chapter":"","article_number":"","scientific_assistance":"[]","scientific_review":"[]","version":"","release_date":null,"expiration_date":null,"surveyor":"","research_assistance":"","edv":"","additional_info_de":"","additional_info_en":""},"yoast_head":"<!-- This site is optimized with the Yoast SEO Premium plugin v27.3 (Yoast SEO v27.3) - 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