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Capital market equilibrium in a mean-lower partial moment framework

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Bawa, Vijay S.
Lindenberg, Eric B.
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 5 (1977)
Issue (Month): 2 (November)
Pages: 189-200
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Handle: RePEc:eee:jfinec:v:5:y:1977:i:2:p:189-200

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  2. Post, G.T., 2003. "Asset prices and omitted moments; A stochastic dominance analysis of market efficiency," Research Paper ERS-2003-017-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
  3. Baquero, G. & Verbeek, M.J.C.M, 2005. "A Portrait of Hedge Fund Investors: Flows, Performance and Smart Money," Research Paper ERS-2005-068-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
  4. Post, G.T. & Vliet, P. van, 2004. "Downside Risk and Asset Pricing," Research Paper ERS-2004-018-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
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  5. Andrew Ang & Joseph Chen & Yuhang Xing, 2005. "Downside Risk," NBER Working Papers 11824, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  6. Antonio Bernardo & Olivier Ledoit, 1999. "Approximate Arbitrage," University of California at Los Angeles, Anderson Graduate School of Management 1097, Anderson Graduate School of Management, UCLA. [Downloadable!]
  7. Emili Grifell-Tatjé & Pilar Marquès-Gou, 2002. "Measuring Sustained Superior Performance at the Firm Level," Working Papers 200208, Department of Business Economics, Universitat Autonoma de Barcelona. [Downloadable!]
  8. Babak Eftekhari, Christian S. Pedersen, Stephen E. Satchell, 2000. "On the volatility of measures of financial risk: an investigation using returns from European markets," European Journal of Finance, Taylor and Francis Journals, vol. 6(1), pages 18-38, March. [Downloadable!] (restricted)
  9. Post, G.T., 2003. "Statistical Inference on Stochastic Dominance Efficiency. Do Omitted Risk Factors Explain the Size and Book-to-Market Effects?," Research Paper ERS-2003-017-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
  10. José L. B. Fernandes & Augusto Hasman & Juan Ignacio Peña, 2006. "Risk Premium: Insights Over The Threshold," Working Papers Series 126, Central Bank of Brazil, Research Department. [Downloadable!]
  11. Estrada, Javier, 2003. "Cost of equity of Internet stocks: A downside risk approach, The," IESE Research Papers D/491, IESE Business School. [Downloadable!]
  12. Günter Franke & Martin Weber, 2001. "Heterogeneity of Investors and Asset Pricing in a Risk-Value World," CoFE Discussion Paper 01-08, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
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  13. Javier Estrada, 2004. "The cost of equity of internet stocks: a downside risk approach," European Journal of Finance, Taylor and Francis Journals, vol. 10(4), pages 239-254, August. [Downloadable!] (restricted)
  14. A.B. Berkelaar & R. Kouwenberg, 1999. "Retirement saving with contribution payments and labor income as a benchmark for investments," Econometric Institute Report 181, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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  15. Audrey Hu & Liang Zou, 2008. "Auctions under Payoff Uncertainty: The Case with Heterogeneous Bidder-Aversion to Downside Risk," Tinbergen Institute Discussion Papers 08-044/1, Tinbergen Institute, revised 22 Apr 2008. [Downloadable!]
  16. A.B. Berkelaar & R.R.P. Kouwenberg, 2000. "Dynamic asset allocation and downside-risk aversion," Econometric Institute Report 190, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
  17. Post, G.T. & Vliet, P. van, 2004. "Conditional Downside Risk and the CAPM," Research Paper ERS-2004-048-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
  18. Jesus Gonzalo & Jose Olmo, 2007. "The Impact of Heavy Tails and Comovements in Downside-Risk Diversification," City University Economics Discussion Papers 07/02, Department of Economics, City University, London. [Downloadable!]
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