scholarly journals MEAN-DRAWDOWN RISK BEHAVIOR: DRAWDOWN RISK AND CAPITAL ASSET PRICING

2013 ◽  
Vol 14 (Supplement_1) ◽  
pp. S447-S469 ◽  
Author(s):  
Mohammad Reza Tavakoli Baghdadabad ◽  
Fauzias Mat Nor ◽  
Izani Ibrahim
Keyword(s):  
Mutual Funds ◽  
Risk Behavior ◽  
Risk Measures ◽  
Capital Asset Pricing ◽  
Capital Asset ◽  
Pricing Models ◽  
Alternative Approach ◽  
The Mean ◽  
Maximum Drawdown ◽  
Mean Variance

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.

Average Drawdown Risk and Capital Asset Pricing

2013 ◽  
Vol 16 (04) ◽  
pp. 1350028 ◽  
Author(s):  
Mohammad Reza Tavakoli Baghdadabad ◽  
Paskalis Glabadanidis
Keyword(s):  
Asset Pricing ◽  
Mutual Funds ◽  
Risk Measure ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Acceptable Risk ◽  
Asset Pricing Model ◽  
The Past ◽  
Mean Variance

Practitioners and academics have spent the past few decades debating the validity and relevance of the capital asset pricing model (CAPM). One of the attributes of the model is an estimate of risk by beta, which in equilibrium describe the behavior of mean-variance (MV) investors. In the MV framework, risk is measured by the variance of returns which is a questionable and restrictive risk measure. In contrast, the average drawdown risk is a more acceptable risk measure and can be applied to modeling an alternative behavioral hypothesis, namely mean-drawdown behavior with a replacement risk measure for diversified investors, the average drawdown beta leading to an alternative pricing model based on this beta. Our findings clearly support the average drawdown beta and the pricing model of average drawdown CAPM versus the conventional beta and CAPM in a sample of Malaysian mutual funds.

scholarly journals Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models

2012 ◽  
Author(s):  
Ulrich Horst ◽  
Michael Kupper ◽  
Andrea Macrina ◽  
Christoph Mainberger
Keyword(s):  
Asset Pricing ◽  
Capital Asset Pricing ◽  
Capital Asset ◽  
Pricing Models ◽  
Asset Pricing Models

Capital Asset Pricing Models

2021 ◽  
pp. 25-52
Author(s):  
James W. Kolari ◽  
Wei Liu ◽  
Jianhua Z. Huang
Keyword(s):  
Asset Pricing ◽  
Capital Asset Pricing ◽  
Capital Asset ◽  
Pricing Models ◽  
Asset Pricing Models

scholarly journals Continuous equilibrium in affine and information-based capital asset pricing models

2012 ◽  
Vol 9 (4) ◽  
pp. 725-755
Author(s):  
Ulrich Horst ◽  
Michael Kupper ◽  
Andrea Macrina ◽  
Christoph Mainberger
Keyword(s):  
Asset Pricing ◽  
Capital Asset Pricing ◽  
Capital Asset ◽  
Pricing Models ◽  
Asset Pricing Models

scholarly journals Responsible or Thematic? The True Nature of Sustainability-Themed Mutual Funds

2019 ◽  
Vol 11 (12) ◽  
pp. 3304 ◽  
Author(s):  
Federica Ielasi ◽  
Monica Rossolini
Keyword(s):  
Mutual Funds ◽  
Factor Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Socially Responsible ◽  
True Nature ◽  
Asset Pricing Model ◽  
Fama And French ◽  
Better Than

The aim of the paper is to compare the risk-adjusted performance of sustainability-themed funds with other categories of mutual funds: sustainable and responsible mutual funds that implement different approaches in portfolio selection and management, and thematic funds not committed to responsible investments. The study analyses a sample of about 1000 European mutual open-end funds where 302 are sustainability-themed funds, 358 are other responsible funds, and 341 other thematic funds. Risk-adjusted performance is analyzed for the period 2007–2017 using different methodologies: a single factor Capital Asset Pricing Model (CAPM), a Fama and French (1993) 3-factor model, and a Fama and French (2015) 5-factor model. Our main findings demonstrate that the risk-adjusted performance of ST funds is more closely related to their responsible nature than to their thematic approach. Sustainability-themed mutual funds are more similar to other socially responsible funds than to other thematic funds, as confirmed by performance analysis over time. They are also better than other thematic funds in overcoming financially turbulent periods and currently benefit from SRI regulation and disclosure.

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