TY - JOUR
T1 - Mean-drawdown risk behavior : drawdown risk and capital asset pricing
AU - Tavakoli Baghdadabad, Mohammad Reza
AU - Mat Nor, Fauzias
AU - Ibrahim, Izani
PY - 2013
Y1 - 2013
N2 - 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.
AB - 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.
UR - https://hdl.handle.net/1959.7/uws:75815
U2 - 10.3846/16111699.2012.720593
DO - 10.3846/16111699.2012.720593
M3 - Article
SN - 1611-1699
VL - 14
SP - S447-S469
JO - Journal of Business Economics and Management
JF - Journal of Business Economics and Management
IS - Suppl. 1
ER -