The effect of using as a model the negative side of the risk (Downside Risk) to the required rate of return applied study compared the Iraq Stock Exchange
AL-Qadisiyah Journal For Administrative and Economic sciences,
2017, Volume 18, Issue 1, Pages 26-41
AbstractThe main purpose of this research is to measure the risk that the inventor wants to avoid it only ,by using semi variance or downside beta, then use the results as a measure of an required estimate rate of return ,RRRs equivalent to that risk as a substitute for the RRR calculated by beta.
I assumed the use of risk metrics based on the semi variance do not lead to a reduction in size of the risk and therefor the RRR compared with standard risk measures, but test hypotheses in Iraqi stock Exchange ISES showed, by using of (84) observation (period from January 2008 to December 2014), A rejection of null hypotheses and acceptance of alternative hypotheses. This means the basic conclusion of research is that the use of semi variance metrics leads to the reduction of risk and thus the yield demanded by investors to bear that risk.
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