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Monthly observations of 46,920 samples from the US, UK, India and China. The Data was
analyzed using the Fama French three-factor model and the proposed downside four-
factor model. They compare for accuracy, and the new model helps investors
significantly protect themselves during the crisis and create faster wealth during the bull
phase of the market.

In summary, how, when and which stocks to be selected for robust portfolio construction
is shown and proposed.

Structure of the Thesis:
Chapter 1: Introduction

The first chapter provides a brief background of the study in the form of an introduction.
This background provides the objectives of the study. This chapter also introduces the
model to be used as a conceptual framework, followed by the scope and significance of
the study.
Chapter 2: Literature Review

This chapter reviews the literature regarding various asset pricing models, such as the
capital assets pricing model, the Fama French three-factor model, the Carhart four- factor
model, the Fama French five-factor model, and the six-factor model. After that,

It attempts to provide a theoretical framework of downside risk and ends with the
provision of detailed development of modifications to the model used in this study.
Chapter 3: Research Methodology

This chapter underlines the nature and scope, objective, hypothesis, construct
development, measures, instrument used, sampling methodology used and data
calculation steps.

Chapter 4: Data analysis and interpretation
This chapter analyzes and interprets the secondary data collected with Yahoo Finance. It
uses various relevant statistical techniques and employs appropriate parametric tests.

Chapter 5: Implications, Further Scope and Conclusion

The summary of the results of tested hypotheses is presented in this chapter. The details
of the proposed theoretical model for measuring the expected risk premium using the
proposed four-factor model. The findings of the study started with testing the Fama
French three-factor model, followed by a comparison of the proposed four- factor model.
The well-known Chapter discusses the implication of study from the theory development,

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