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An Analysis of Risk in Bull and Bear Markets

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  • Kim, Moon K.
  • Zumwalt, J. Kenton
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    File URL: http://journals.cambridge.org/abstract_S0022109000005949
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    Bibliographic Info

    Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

    Volume (Year): 14 (1979)
    Issue (Month): 05 (December)
    Pages: 1015-1025

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    Handle: RePEc:cup:jfinqa:v:14:y:1979:i:05:p:1015-1025_00

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    Cited by:
    1. Aggarwal, Raj & Schirm, David C., 1998. "Asymmetric impact of trade balance news on asset prices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(1), pages 83-100, January.
    2. Chiao, Chaoshin & Hung, Ken & Srivastava, Suresh C., 2003. "Taiwan stock market and four-moment asset pricing model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(4), pages 355-381, October.
    3. Nikolaos G. Theriou & Vassilios P. Aggelidis & Dimitrios I. Maditinos & Željko Ševic, 2010. "Testing the relation between beta and returns in the Athens stock exchange," Managerial Finance, Emerald Group Publishing, vol. 36(12), pages 1043-1056, December.
    4. Safari, Meysam & TahmooresPour, Reza, 2011. "Moderation Effect of Market Condition on the Relationship between Dividend Yield and Stock Return," MPRA Paper 28913, University Library of Munich, Germany.
    5. Don U.A. Galagedera & Roland G. Shami, 2004. "Beta Risk and Regime Shift in Market Volatility," Econometric Society 2004 Australasian Meetings 126, Econometric Society.
    6. Don U. A. Galagedera & Robert Faff, 2005. "Modeling The Risk And Return Relation Conditional On Market Volatility And Market Conditions," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(01), pages 75-95.
    7. Hwang, Soosung & Pedersen, Christian S., 2004. "Asymmetric risk measures when modelling emerging markets equities: evidence for regional and timing effects," Emerging Markets Review, Elsevier, vol. 5(1), pages 109-128, March.
    8. Woodward, George & Marisetty, Vijaya B., 2005. "Introducing non-linear dynamics to the two-regime market model: Evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 559-581, September.
    9. Asger Lunde & Allan Timmermann, 2000. "Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets," Econometric Society World Congress 2000 Contributed Papers 1216, Econometric Society.
    10. Don U.A. Galagedera, 2004. "A survey on risk-return analysis," Finance 0406010, EconWPA.
    11. Soosung Hwang & Christian Pedersen, 2002. "On Empirical Risk Measurement with Asymmetric Returns Data," Working Papers wp02-03, Warwick Business School, Finance Group.
    12. Safari, Meysam, 2009. "Dividend Yield and Stock Return in Different Economic Environment: Evidence from Malaysia," MPRA Paper 23841, University Library of Munich, Germany.
    13. Kim, Moon K. & Ismail, Badr E., 1998. "An accounting analysis of the risk-return relationship in bull and bear markets," Review of Financial Economics, Elsevier, vol. 7(2), pages 173-182.

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