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On the Direction of Preference for Moments of Higher Order Than the Variance

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Author Info
Scott, Robert C
Horvath, Philip A
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Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 35 (1980)
Issue (Month): 4 (September)
Pages: 915-19
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Handle: RePEc:bla:jfinan:v:35:y:1980:i:4:p:915-19

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  1. Knight, J. & Satchell, S., 1999. "Testing for Infinite Order Stochastic Dominance with Applications to Finance, Risk and Income Inequality," Cambridge Working Papers in Economics 9911, Faculty of Economics, University of Cambridge. [Downloadable!]
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  2. Andrew Ang & Joseph Chen & Yuhang Xing, 2005. "Downside Risk," NBER Working Papers 11824, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  3. Gordon Tang, 1997. "Weekly pattern in higher moments: An empirical test in Hong Kong stock market," Journal of Economics and Finance, Springer, vol. 21(1), pages 51-59, March. [Downloadable!] (restricted)
  4. Hagströmer, Björn & Anderson, Richard G. & Binner, Jane & Elger, Thomas & Nilsson, Birger, 2007. "Mean-Variance vs. Full-Scale Optimization: Broad Evidence for the UK," Working Papers 2008:1, Lund University, Department of Economics. [Downloadable!]
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  5. Gordon Tang, 1998. "Monthly Pattern and Portfolio Effect on Higher Moments of Stock Returns: Empirical Evidence from Hong Kong," Asia-Pacific Financial Markets, Springer, vol. 5(3), pages 275-307, November. [Downloadable!] (restricted)
  6. Bjorn Wahlroos & Tom Berglund, 1984. "Anomalies and Equilibrium Returns in a Small Stock Market," Discussion Papers 589, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
  7. Markus Haas, 2007. "Do investors dislike kurtosis?," Economics Bulletin, Economics Bulletin, vol. 7(2), pages 1-9. [Downloadable!]
  8. Gordon Tang, 1998. "Weekly Pattern of Exchange Rate Risks: Evidence from Ten Asian-Pacific Currencies," Asia-Pacific Financial Markets, Springer, vol. 5(3), pages 261-274, November. [Downloadable!] (restricted)
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