Skewness and Kurtosis in Japanese Equity Returns: Empirical Evidence
AbstractIn this paper, the distribution of equity returns on the Tokyo Stock Exchange is examined from 1965 to 1984, and significant and persistent skewness and kurtosis are found. The deviation of security returns from normality declines with increasing portfolio size and appears to be greater than the non-normality evidenced in U.S. security returns. Further, these deviations from normality persist even after controlling for January and firm size effects.
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Bibliographic InfoArticle provided by Southern Finance Association & Southwestern Finance Association in its journal Journal of Financial Research.
Volume (Year): 12 (1989)
Issue (Month): 3 (Fall)
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- Raj Aggarwal & Ramesh P. Rao & Takato Hiraki, 1989. "Skewness And Kurtosis In Japanese Equity Returns: Empirical Evidence," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, Southern Finance Association;Southwestern Finance Association, vol. 12(3), pages 253-260, 09.
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