Article Per Year (5 Year)
p-Index From 2020 - 2025
0.23
P-Index
This Author published in this journals
All Journal Indonesian Financial Review
Nailin Nikmatul Maulidiyah
Zainul Hasan Genggong Islamic University
Economics, Econometrics & Finance

Published : 1 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 1 Documents
Search

 1 
Does Downside Risk Matter more in Asset Pricing? Evidence from Indonesia Iman Lubis; Nailin Nikmatul Maulidiyah
Indonesian Financial Review Vol. 2 No. 2 (2022)
Publisher : YPPP AL-AMSI

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.55538/ifr.v2i2.21

Abstract

This study examines downside risk matters in asset pricing, particularly evidence from Indonesia. Using ten reference indexes for passive instruments and 674 companies listed on the Indonesia Stock Exchange between 2020-2021. The four measurements are the traditional families (beta and standard deviation/risk) and downside risk families (semi-deviation and downside beta). For those, we divide 674 stocks into quintiles (5 groups). Every quintile is investigated by four measurements using Fama-Macbeth regression. semi-deviation in those close to standard deviation. Standard deviation affects semi-deviation portfolios in quintiles 1 and 2 and portfolios sorted beta and downside beta in quintile 2. Beta does not affect all portfolios. Eighth, semi-deviation affects portfolios sorted semi-deviation in quintiles 1,2,3,and 5. Downside beta does not affect all portfolios.
Co-Authors Iman Lubis