Abstract

The current research paper tries to compare the semi-variance and the beta calculated based thereon with the normal variance and beta and make it clear whether the downside risk scales (semi-variance and beta computed based thereon) can be preferred to the common risk indicators or not? To do so, the weekly data from 55 sample companies were collected in a 6-year period (spanning from early 1999 to late 2004) and were subjected to the required tests. The obtained results indicate that inter alia the risk scales, the downside risk scales are more superior to the common risk indicators