  Providing a measure of market risk is an important issue for investors and
financial institutions. However, the existing models for this purpose are per
definition symmetric. The current paper introduces an asymmetric capital asset
pricing model for measurement of the market risk. It explicitly accounts for
the fact that falling prices determine the risk for a long position in the
risky asset and the rising prices govern the risk for a short position. Thus, a
position dependent market risk measure that is provided accords better with
reality. The empirical application reveals that Apple stock is more volatile
than the market only for the short seller. Surprisingly, the investor that has
a long position in this stock is facing a lower volatility than the market.
This property is not captured by the standard asset pricing model, which has
important implications for the expected returns and hedging designs.
