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Stability Of Market Risk Surrogates

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  • Naval K. Modani
  • Philip L. Cooley
  • Rodney L. Roenfeldt

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  • Naval K. Modani & Philip L. Cooley & Rodney L. Roenfeldt, 1983. "Stability Of Market Risk Surrogates," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 6(1), pages 33-40, March.
    • Handle: RePEc:bla:jfnres:v:6:y:1983:i:1:p:33-40
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1983.tb00309.x
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    References listed on IDEAS

    as
    1. Gooding, Arthur E, 1978. "Perceived Risk and Capital Asset Pricing," Journal of Finance, American Finance Association, vol. 33(5), pages 1401-1424, December.
    2. Cooley, Philip L & Roenfeldt, Rodney L & Modani, Naval K, 1977. "Interdependence of Market Risk Measures," The Journal of Business, University of Chicago Press, vol. 50(3), pages 356-363, July.
    3. Eugene F. Fama, 1965. "Portfolio Analysis in a Stable Paretian Market," Management Science, INFORMS, vol. 11(3), pages 404-419, January.
    4. Cooley, Philip L, 1977. "A Multidimensional Analysis of Institutional Investor Perception of Risk," Journal of Finance, American Finance Association, vol. 32(1), pages 67-78, March.
    5. Hawawini, Gabriel A., 1980. "Intertemporal Cross-Dependence in Securities Daily Returns and the Short-Run Intervaling Effect on Systematic Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(1), pages 139-149, March.
    6. Smith, Keith V., 1978. "The Effect of Intervaling on Estimating Parameters of the Capital Asset Pricing Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(2), pages 313-332, June.
    7. Milton Friedman & L. J. Savage, 1948. "The Utility Analysis of Choices Involving Risk," Journal of Political Economy, University of Chicago Press, vol. 56, pages 279-279.
    8. Hogan, William W. & Warren, James M., 1974. "Toward the Development of an Equilibrium Capital-Market Model Based on Semivariance," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(1), pages 1-11, January.
    9. Blume, Marshall E & Friend, Irwin, 1975. "The Asset Structure of Individual Portfolios and Some Implications for Utility Functions," Journal of Finance, American Finance Association, vol. 30(2), pages 585-603, May.
    10. Lee, Cheng F., 1976. "On the Relationship between the Systematic Risk and the Investment Horizon," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 11(5), pages 803-815, December.
    11. Francis, Jack Clark, 1975. "Skewness and Investors' Decisions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 10(1), pages 163-172, March.
    12. Gooding, Arthur E, 1975. "Quantification of Investors' Perceptions of Common Stocks: Risk and Return Dimensions," Journal of Finance, American Finance Association, vol. 30(5), pages 1301-1316, December.
    13. Erwin M. Saniga & Thomas H. McInish & Bruce K. Gouldey, 1981. "The Effect Of Differencing Interval Length On Beta," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 4(2), pages 129-135, June.
    14. Hawawini, Gabriel A., 1980. "An Analytical Examination of the Intervaling Effect on Skewness and Other Moments," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(5), pages 1121-1127, December.
    15. Levhari, David & Levy, Haim, 1977. "The Capital Asset Pricing Model and the Investment Horizon," The Review of Economics and Statistics, MIT Press, vol. 59(1), pages 92-104, February.
    16. Blume, Marshall E, 1971. "On the Assessment of Risk," Journal of Finance, American Finance Association, vol. 26(1), pages 1-10, March.
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