IDEAS home Printed from https://ideas.repec.org/r/bla/jfinan/v22y1967i1p19-36.html
   My bibliography  Save this item

Risk And The Required Return On Equity

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Shangmei Zhao & Qing Lu & Liyan Han & Yong Liu & Fei Hu, 2015. "A mean-CVaR-skewness portfolio optimization model based on asymmetric Laplace distribution," Annals of Operations Research, Springer, vol. 226(1), pages 727-739, March.
  2. Iseringhausen, Martin, 2020. "The time-varying asymmetry of exchange rate returns: A stochastic volatility – stochastic skewness model," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 275-292.
  3. Rand Kwong Yew Low, 2018. "Vine copulas: modelling systemic risk and enhancing higher‐moment portfolio optimisation," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 423-463, November.
  4. Eric Jondeau & Michael Rockinger, 2006. "Optimal Portfolio Allocation under Higher Moments," European Financial Management, European Financial Management Association, vol. 12(1), pages 29-55, January.
  5. Post, Thierry & van Vliet, Pim, 2006. "Downside risk and asset pricing," Journal of Banking & Finance, Elsevier, vol. 30(3), pages 823-849, March.
  6. Don U.A. Galagedera, 2004. "A survey on risk-return analysis," Finance 0406010, University Library of Munich, Germany.
  7. Mateja Gabrijelčič & Uroš Herman & Andreja Lenarčič, 2016. "Firm Performance and (Foreign) Debt Financing before and during the Crisis: Evidence from Firm-Level Data," Working Papers 15, European Stability Mechanism.
  8. Attiya Y. Javid & Eatzaz Ahmad, 2008. "Test of Multi-moment Capital Asset Pricing Model: Evidence from Karachi Stock Exchange," PIDE-Working Papers 2008:49, Pakistan Institute of Development Economics.
  9. Kinateder, Harald & Papavassiliou, Vassilios G., 2019. "Sovereign bond return prediction with realized higher moments," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 62(C), pages 53-73.
  10. Haim Levy, 2004. "Prospect Theory and Mean-Variance Analysis," Review of Financial Studies, Society for Financial Studies, vol. 17(4), pages 1015-1041.
  11. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis, 2015. "Factor Models as 'Explanatory Unifiers' versus 'Explanatory Ideals' of Empirical Regularities of Stock Returns," DEOS Working Papers 1507, Athens University of Economics and Business.
  12. Akbar, Muhammad & Nguyen, Thuy Thu, 2016. "The explanatory power of higher moment capital asset pricing model in the Karachi stock exchange," Research in International Business and Finance, Elsevier, vol. 36(C), pages 241-253.
  13. William L. Beedles, 1979. "Return, Dispersion, And Skewness: Synthesis And Investment Strategy," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 2(1), pages 71-80, March.
  14. Wong, Hwee Yin, 2017. "The Performance and Risk of Apollo Food Holdings Berhad," MPRA Paper 78338, University Library of Munich, Germany.
  15. Lin, Yuehao & Lehnert, Thorsten & Wolff, Christian, 2019. "Skewness risk premium: Theory and empirical evidence," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 174-185.
  16. Tilman H. Drerup & Matthias Wibral & Christian Zimpelmann, 2023. "Skewness expectations and portfolio choice," Experimental Economics, Springer;Economic Science Association, vol. 26(1), pages 107-144, March.
  17. Colasante, Annarita & Riccetti, Luca, 2020. "Risk aversion, prudence and temperance: It is a matter of gap between moments," Journal of Behavioral and Experimental Finance, Elsevier, vol. 25(C).
  18. Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2016. "Efficient skewness/semivariance portfolios," Journal of Asset Management, Palgrave Macmillan, vol. 17(5), pages 331-346, September.
  19. Tamara Teplova & Evgeniya Shutova, 2011. "A Higher Moment Downside Framework for Conditional and Unconditional Capm in the Russian Stock Market," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 1(2), pages 157-178, December.
  20. Eakins, Stanley G. & Stansell, Stanley R. & Below, Scott D., 1996. "The determinants of institutional demand for common stock: Tests of the capm vs. individual stock attributes," International Review of Financial Analysis, Elsevier, vol. 5(3), pages 237-257.
  21. Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2015. "Portfolio Management With Higher Moments: The Cardinality Impact," GEMF Working Papers 2015-15, GEMF, Faculty of Economics, University of Coimbra.
  22. B. Matemilola & A. Bany-Ariffin & W. Azman-Saini, 2012. "Financial Leverage and Shareholder’s Required Returns: Evidence from South Africa Corporate Sector," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 18(3), pages 601-612, March.
  23. Ahmed, Walid M.A., 2022. "On the higher-order moment interdependence of stock and commodity markets: A wavelet coherence analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 83(C), pages 135-151.
  24. Rodríguez, Yeny E. & Gómez, Juan M. & Contreras, Javier, 2021. "Diversified behavioral portfolio as an alternative to Modern Portfolio Theory," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  25. Abdelaziz, Fouad Ben & Aouni, Belaid & Fayedh, Rimeh El, 2007. "Multi-objective stochastic programming for portfolio selection," European Journal of Operational Research, Elsevier, vol. 177(3), pages 1811-1823, March.
  26. Colombelli, Alessandra, 2014. "The Impact of Top Management Team Characteristics on Firms Growth," Department of Economics and Statistics Cognetti de Martiis. Working Papers 201428, University of Turin.
  27. Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2017. "On the gains of using high frequency data and higher moments in Portfolio Selection," CeBER Working Papers 2017-02, Centre for Business and Economics Research (CeBER), University of Coimbra.
  28. Eric Jondeau & Michael Rockinger, 2005. "Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?," FAME Research Paper Series rp132, International Center for Financial Asset Management and Engineering.
  29. Narayan, Paresh Kumar & Ahmed, Huson Ali, 2014. "Importance of skewness in decision making: Evidence from the Indian stock exchange," Global Finance Journal, Elsevier, vol. 25(3), pages 260-269.
  30. Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2015. "Portfolio Management With Higher Moments: The Cardinality Impact," GEMF Working Papers 2015-15, GEMF, Faculty of Economics, University of Coimbra.
  31. Elyasiani, Elyas & Gambarelli, Luca & Muzzioli, Silvia, 2020. "Moment risk premia and the cross-section of stock returns in the European stock market," Journal of Banking & Finance, Elsevier, vol. 111(C).
  32. Jozef Barunik & Josef Kurka, 2021. "Risks of heterogeneously persistent higher moments," Papers 2104.04264, arXiv.org, revised Mar 2024.
  33. Turan G. Bali & Nusret Cakici & Robert F. Whitelaw, 2009. "Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns," NBER Working Papers 14804, National Bureau of Economic Research, Inc.
  34. Musser, Wesley N. & Tew, Bernard V. & Epperson, James E., 1981. "An Economic Examination Of An Integrated Pest Management Production System With A Contrast Between E-V And Stochastic Dominance Analysis," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 13(1), pages 1-6, July.
  35. Cui, Xiangyu & Guan, Zheng, 2022. "On the pricing of expected idiosyncratic skewness," Economics Letters, Elsevier, vol. 216(C).
  36. Zhong, Angel & Gray, Philip, 2016. "The MAX effect: An exploration of risk and mispricing explanations," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 76-90.
  37. Eric Luxenberg & Stephen Boyd, 2022. "Portfolio Construction with Gaussian Mixture Returns and Exponential Utility via Convex Optimization," Papers 2205.04563, arXiv.org, revised Aug 2022.
  38. Robert F. Dittmar, 2002. "Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns," Journal of Finance, American Finance Association, vol. 57(1), pages 369-403, February.
  39. Łojek Paweł, 2020. "The relationship between profitability and financial liquidity among the importers of best-selling brands of new cars in poland," Central European Economic Journal, Sciendo, vol. 7(54), pages 127-142, January.
  40. Low, Rand Kwong Yew & Alcock, Jamie & Faff, Robert & Brailsford, Timothy, 2013. "Canonical vine copulas in the context of modern portfolio management: Are they worth it?," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3085-3099.
  41. Hautsch, Nikolaus & Scheuch, Christoph & Voigt, Stefan, 2018. "Limits to arbitrage in markets with stochastic settlement latency," CFS Working Paper Series 616, Center for Financial Studies (CFS).
  42. Juliane Proelss & Denis Schweizer, 2014. "Polynomial goal programming and the implicit higher moment preferences of US institutional investors in hedge funds," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(1), pages 1-28, February.
  43. John Lintner, 1976. "Interest Rate Expectations and Optimal Forward Commitments for Institutional Investors," NBER Chapters, in: Explorations in Economic Research, Volume 3, number 4, pages 445-520, National Bureau of Economic Research, Inc.
  44. Bill Woodland & Linda Woodland, 1999. "Expected utility, skewness, and the baseball betting market," Applied Economics, Taylor & Francis Journals, vol. 31(3), pages 337-345.
  45. Kang, Taehoon & Wade Brorsen, B. & Adam, Brian D., 1996. "A new efficiency criterion: The mean-separated target deviations risk model," Journal of Economics and Business, Elsevier, vol. 48(1), pages 47-66, February.
  46. Lee, Ahyee & Moy, Ronald L. & Lee, Cheng F., 1996. "A multivariate test of the covariance-co-skewness restriction for the three moment CAPM," Journal of Economics and Business, Elsevier, vol. 48(5), pages 515-523, December.
  47. Fong, Wai Mun & Lean, Hooi Hooi & Wong, Wing Keung, 2008. "Stochastic dominance and behavior towards risk: The market for Internet stocks," Journal of Economic Behavior & Organization, Elsevier, vol. 68(1), pages 194-208, October.
  48. Xu, Zhongxiang & Li, Xiafei & Chevapatrakul, Thanaset & Gao, Ning, 2022. "Default risk, macroeconomic conditions, and the market skewness risk premium," Journal of International Money and Finance, Elsevier, vol. 127(C).
  49. Rui Albuquerque, 2012. "Skewness in Stock Returns: Reconciling the Evidence on Firm Versus Aggregate Returns," Review of Financial Studies, Society for Financial Studies, vol. 25(5), pages 1630-1673.
  50. Rawley Heimer & Zwetelina Iliewa & Alex Imas & Martin Weber, 2021. "Dynamic Inconsistency in Risky Choice: Evidence From the Lab and Field," CRC TR 224 Discussion Paper Series crctr224_2021_274, University of Bonn and University of Mannheim, Germany.
  51. Travkin, Alexandr, 2013. "Pair copula constructions in portfolio optimization ploblem," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 32(4), pages 110-133.
  52. Christoffersen, Peter & Fournier, Mathieu & Jacobs, Kris & Karoui, Mehdi, 2021. "Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 56(1), pages 65-91, February.
  53. Senan Amer, 2021. "The Role of Using CAMELS Model in Analyzing the Factors Affecting the Performance of The Jordanian Commercial Banks (2014-2019)," Theory Methodology Practice (TMP), Faculty of Economics, University of Miskolc, vol. 17(02), pages 3-11.
  54. Wang, Chou-Wen & Liu, Kai & Li, Bin & Tan, Ken Seng, 2022. "Portfolio optimization under multivariate affine generalized hyperbolic distributions," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 49-66.
  55. Trung H. Le & Apostolos Kourtis & Raphael Markellos, 2023. "Modeling skewness in portfolio choice," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(6), pages 734-770, June.
  56. Dai, Yingtong & Harris, Richard D.F., 2023. "Average tail risk and aggregate stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
  57. Liu, Liping, 2004. "A new foundation for the mean-variance analysis," European Journal of Operational Research, Elsevier, vol. 158(1), pages 229-242, October.
  58. Panayotis Artikis & Georgia Nifora, 2011. "Leverage and Returns in Three Countries of Southern European Region," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 3-26.
  59. Gu, Wentao & Peng, Yiqing, 2019. "Forecasting the market return direction based on a time-varying probability density model," Technological Forecasting and Social Change, Elsevier, vol. 148(C).
  60. Eleonora Ionela Focsan & Vasile Cristian Ioachim Miron & Ioana Jeler (Popa), 2015. "Du Pont Analysis In The Production And Preservation Of Meat," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 1, pages 140-146, February.
  61. Dennis Vrecko & Alexander Klos & Thomas Langer, 2009. "Impact of Presentation Format and Self-Reported Risk Aversion on Revealed Skewness Preferences," Decision Analysis, INFORMS, vol. 6(2), pages 57-74, June.
  62. Michael J. Seiler & David M. Harrison & Pim Van Vliet & Kit Ching Yeung, 2005. "Return Characteristics of State‐Owned and Non‐State‐Owned Chinese A Shares," The Financial Review, Eastern Finance Association, vol. 40(4), pages 533-548, November.
  63. Matteo Benuzzi & Matteo Ploner, 2023. "Skewness-seeking behavior and financial investments," CEEL Working Papers 2301, Cognitive and Experimental Economics Laboratory, Department of Economics, University of Trento, Italia.
  64. Abdoul Salam Diallo & Alfred Mbairadjim Moussa, 2014. "Addressing agent specific extreme price risk in the presence of heterogeneous data sources: A food safety perspective," Working Papers 14-15, LAMETA, Universtiy of Montpellier, revised Dec 2014.
  65. Tong Suk Kim & Heewoo Park, 2018. "Is stock return predictability of option‐implied skewness affected by the market state?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(9), pages 1024-1042, September.
  66. Vendrame, Vasco & Tucker, Jon & Guermat, Cherif, 2016. "Some extensions of the CAPM for individual assets," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 78-85.
  67. Post, G.T., 2002. "Testing for Third-Order Stochastic Dominance with Diversification Possibilities," ERIM Report Series Research in Management ERS-2002-02-F&A, 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 University Rotterdam.
  68. Chan, Raymond H. & Clark, Ephraim & Wong, Wing-Keung, 2016. "On the Third Order Stochastic Dominance for Risk-Averse and Risk-Seeking Investors with Analysis of their Traditional and Internet Stocks," MPRA Paper 75002, University Library of Munich, Germany.
  69. Evaldo Guimarães Barbosa & Cristiana De Castro Moraes, 2003. "Determinants Of The Firm’S Capital Structure - The Case Of The Very Small Enterprises," Finance 0302001, University Library of Munich, Germany, revised 06 Oct 2003.
  70. Trino-Manuel Niguez & Ivan Paya & David Peel & Javier Perote, 2013. "Higher-order moments in the theory of diversification and portfolio composition," Working Papers 18297128, Lancaster University Management School, Economics Department.
  71. T. Johnson & P. A. R. Maxwell, 1976. "Homogeneous Risk Classifications for Industry Studies," The Economic Record, The Economic Society of Australia, vol. 52(1), pages 94-103, March.
  72. Huyen Nguyen-Thi-Thanh, 2006. "Quantitative selection of hedge funds using data envelopment analysis," Post-Print halshs-00067742, HAL.
  73. Caio Almeida & René Garcia, 2017. "Economic Implications of Nonlinear Pricing Kernels," Management Science, INFORMS, vol. 63(10), pages 3361-3380, October.
  74. Panayiotis Artikis & Georgia Nifora, 2011. "The Industry Effect on the Relationship Between Leverage and Returns," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 1(2), pages 125-145, December.
  75. I-Hsuan Ethan Chiang, 2016. "Skewness And Coskewness In Bond Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 39(2), pages 145-178, June.
  76. Martin Kipp & Christian Koziol, 2022. "Tail risk management and the skewness premium," Journal of Asset Management, Palgrave Macmillan, vol. 23(6), pages 534-546, October.
  77. Luca Riccetti, 2013. "A copula–GARCH model for macro asset allocation of a portfolio with commodities," Empirical Economics, Springer, vol. 44(3), pages 1315-1336, June.
  78. Albuquerque, Rui, 2009. "Skewness in Stock Returns, Periodic Cash Payouts, and Investor Heterogeneity," CEPR Discussion Papers 7573, C.E.P.R. Discussion Papers.
  79. Lambert, M. & Hübner, G., 2013. "Comoment risk and stock returns," Journal of Empirical Finance, Elsevier, vol. 23(C), pages 191-205.
  80. Byun, Suk-Joon & Kim, Da-Hea, 2016. "Gambling preference and individual equity option returns," Journal of Financial Economics, Elsevier, vol. 122(1), pages 155-174.
  81. Agata Sielska, 2010. "Multicriteria rankings of open-end investment funds and their stability," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 20(1), pages 111-129.
  82. Nurah Musa Allozi & Ghassan S. Obeidat, 2016. "The Relationship between the Stock Return and Financial Indicators (Profitability, Leverage): An Empirical Study on Manufacturing Companies Listed in Amman Stock Exchange," Journal of Social Sciences (COES&RJ-JSS), , vol. 5(3), pages 408-424, July.
  83. Bressan, Silvia & Weissensteiner, Alex, 2021. "The financial conglomerate discount: Insights from stock return skewness," International Review of Financial Analysis, Elsevier, vol. 74(C).
  84. Amritansu Ray & Sanat Kumar Majumder, 2018. "Multi objective mean–variance–skewness model with Burg’s entropy and fuzzy return for portfolio optimization," OPSEARCH, Springer;Operational Research Society of India, vol. 55(1), pages 107-133, March.
  85. R. Stephen Sears & Gary L. Trennepohl, 1983. "Diversification And Skewness In Option Portfolios," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 6(3), pages 199-212, September.
  86. Annaert, Jan & De Ceuster, Marc & Van Cappellen, Jef, 2023. "Can average skewness really predict financial returns? The euro area case," Finance Research Letters, Elsevier, vol. 52(C).
  87. Yigit Atilgan & K. Ozgur Demirtas & A. Doruk Gunaydin & Imra Kirli, 2023. "Average skewness in global equity markets," International Review of Finance, International Review of Finance Ltd., vol. 23(2), pages 245-271, June.
  88. Simone Cerreia-Vioglio & Fabio Maccheroni & Massimo Marinacci, 2017. "Stochastic Dominance Analysis Without the Independence Axiom," Management Science, INFORMS, vol. 63(4), pages 1097-1109, April.
  89. Gechun Liang & Moris S. Strub & Yuwei Wang, 2023. "Predictable Relative Forward Performance Processes: Multi-Agent and Mean Field Games for Portfolio Management," Papers 2311.04841, arXiv.org, revised Dec 2023.
  90. Valery Polkovnichenko, 2005. "Household Portfolio Diversification: A Case for Rank-Dependent Preferences," Review of Financial Studies, Society for Financial Studies, vol. 18(4), pages 1467-1502.
  91. Daglish, Toby, 2008. "The Effect of Asset Price Jumps on Consumption and Investment Decisions," Working Paper Series 19107, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  92. Xu, Zhongxiang & Chevapatrakul, Thanaset & Li, Xiafei, 2019. "Return asymmetry and the cross section of stock returns," Journal of International Money and Finance, Elsevier, vol. 97(C), pages 93-110.
  93. Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2015. "Efficient Skewness/Semivariance Portfolios," GEMF Working Papers 2015-05, GEMF, Faculty of Economics, University of Coimbra.
  94. Jack Clark Francis, 2021. "Reformulating prospect theory to become a von Neumann–Morgenstern theory," Review of Quantitative Finance and Accounting, Springer, vol. 56(3), pages 965-985, April.
  95. Bhatt , Vaishnavi & Sultan, Jahangir, 2012. "Leverage Risk, Financial Crisis, and Stock Returns: A Comparison among Islamic, Conventional, and Socially Responsible Stocks," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 20, pages 87-143.
  96. W. Henry Chiu, 2005. "Skewness Preference, Risk Aversion, and the Precedence Relations on Stochastic Changes," Management Science, INFORMS, vol. 51(12), pages 1816-1828, December.
  97. Panagiotis Samartzis & Nikitas Pittis & Nikolaos Kourogenis & Phoebe Koundouri, 2013. "Factor Models of Stock Returns: GARCH Errors versus Autoregressive Betas," DEOS Working Papers 1318, Athens University of Economics and Business.
  98. Fousseni Chabi-Yo, 2012. "Pricing Kernels with Stochastic Skewness and Volatility Risk," Management Science, INFORMS, vol. 58(3), pages 624-640, March.
  99. Marinela Adriana Finta & José Renato Haas Ornelas, 2018. "Commodity Return Predictability: evidence from implied variance, skewness and their risk premia and their risk premia," Working Papers Series 479, Central Bank of Brazil, Research Department.
  100. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, November.
  101. Mateane, Lebogang, 2020. "Risk preferences, global market conditions and foreign debt: Is there any role for the currency composition of FX reserves?," EconStor Preprints 227484, ZBW - Leibniz Information Centre for Economics.
  102. Kuznar, Lawrence A. & Frederick, William G., 2003. "Environmental constraints and sigmoid utility: implications for value, risk sensitivity, and social status," Ecological Economics, Elsevier, vol. 46(2), pages 293-306, September.
  103. Ahmed, Walid M.A., 2020. "Is there a risk-return trade-off in cryptocurrency markets? The case of Bitcoin," Journal of Economics and Business, Elsevier, vol. 108(C).
  104. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis, 2016. "Factor Models of Stock Returns: GARCH Errors versus Time‐Varying Betas," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 35(5), pages 445-461, August.
  105. Salazar, Juan & Lambert, Annick, 2010. "fama and macbeth revisited: A Critique," MPRA Paper 35910, University Library of Munich, Germany.
  106. Silvia Bressan & Alex Weissensteiner, 2023. "Option-Implied Skewness and the Value of Financial Intermediaries," Journal of Financial Services Research, Springer;Western Finance Association, vol. 64(2), pages 207-229, October.
  107. Jaspal Singh & Kiranpreet Kaur, 2014. "Testing Ben Graham’s Stock Selection Criteria in Indian Stock Market," Management and Labour Studies, XLRI Jamshedpur, School of Business Management & Human Resources, vol. 39(1), pages 43-62, February.
  108. Richard M. Duvall & Judith L. Quinn, 1981. "Skewness Preference In Stable Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 4(3), pages 249-263, September.
  109. Panayiotis Artikis & Georgia Nifora, 2012. "Capital Structure, Macroeconomic Variables & Stock Returns. Evidence from Greece," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 18(1), pages 87-101, February.
  110. Abed Masrorkhah, Sara & Lehnert, Thorsten, 2017. "Press freedom and jumps in stock prices," Economic Systems, Elsevier, vol. 41(1), pages 151-162.
  111. Don U.A. Galagedera & Elizabeth A. Maharaj, 2004. "Wavelet timescales and conditional relationship between higher-order systematic co-moments and portfolio returns: evidence in Australian data," Monash Econometrics and Business Statistics Working Papers 16/04, Monash University, Department of Econometrics and Business Statistics.
  112. Unser, Matthias, 2000. "Lower partial moments as measures of perceived risk: An experimental study," Journal of Economic Psychology, Elsevier, vol. 21(3), pages 253-280, June.
  113. Suranjita Mukherjee & Carol Padgett, 2006. "Return Differences Between Family and Non-Family Firms: Absolute and Index Differences," ICMA Centre Discussion Papers in Finance icma-dp2006-11, Henley Business School, University of Reading.
  114. Prakash, Arun J. & Chang, Chun-Hao & Pactwa, Therese E., 2003. "Selecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets," Journal of Banking & Finance, Elsevier, vol. 27(7), pages 1375-1390, July.
  115. Leung, Mark T. & Daouk, Hazem & Chen, An-Sing, 2001. "Using investment portfolio return to combine forecasts: A multiobjective approach," European Journal of Operational Research, Elsevier, vol. 134(1), pages 84-102, October.
  116. Gómez, Fabio & Tang, Qihe & Tong, Zhiwei, 2022. "The gradient allocation principle based on the higher moment risk measure," Journal of Banking & Finance, Elsevier, vol. 143(C).
  117. Petros Messis & Achilleas Zapranis, 2014. "Herding behaviour and volatility in the Athens Stock Exchange," Journal of Risk Finance, Emerald Group Publishing, vol. 15(5), pages 572-590, November.
  118. Sheng-Ping Yang & Thanh Nguyen, 2019. "Skewness Preference and Asset Pricing: Evidence from the Japanese Stock Market," JRFM, MDPI, vol. 12(3), pages 1-10, September.
  119. 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.
  120. Nikolaus Hautsch & Christoph Scheuch & Stefan Voigt, 2018. "Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets," Papers 1812.00595, arXiv.org, revised Oct 2023.
  121. Timothy W. Vines & Cheng-Ho Hsieh & John J. Hatem, 1994. "The Role of Systematic Covariance and Coskewness in the Pricing of Real Estate: Evidence from Equity REITs," Journal of Real Estate Research, American Real Estate Society, vol. 9(4), pages 421-430.
  122. Hooi Hooi Lean & Fabio Pizzutilo, 2021. "Performances and risk of socially responsible investments across regions during crisis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3556-3568, July.
  123. David F. Babbel & Miguel A. Herce, 2018. "Stable Value Funds Performance," Risks, MDPI, vol. 6(1), pages 1-40, February.
  124. Kim, Thomas, 2015. "Does individual-stock skewness/coskewness reflect portfolio risk?," Finance Research Letters, Elsevier, vol. 15(C), pages 167-174.
  125. Christodoulakis, George & Peel, David, 2006. "The relationship between expected utility and higher moments for distributions captured by the Gram-Charlier class," Finance Research Letters, Elsevier, vol. 3(4), pages 273-276, December.
  126. Sévi, Benoît, 2013. "An empirical analysis of the downside risk-return trade-off at daily frequency," Economic Modelling, Elsevier, vol. 31(C), pages 189-197.
  127. David Yechiam Aharon & Yossi Yagil, 2019. "The Impact of Financial Leverage on the Cost of Equity," International Journal of Economics and Financial Issues, Econjournals, vol. 9(2), pages 175-188.
  128. Andriy Andreev & Antti Kanto & Pekka Malo, 2007. "Computational Examples of a New Method for Distribution Selection in the Pearson System," Journal of Applied Statistics, Taylor & Francis Journals, vol. 34(4), pages 487-506.
  129. Chen, Sheng-Syan & Hsu, Ching-Yu & Huang, Chia-Wei, 2016. "The white squire defense: Evidence from private investments in public equity," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 16-35.
  130. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa Onur, 2012. "Systematic risk and the cross section of hedge fund returns," Journal of Financial Economics, Elsevier, vol. 106(1), pages 114-131.
  131. Bali, Turan G. & Cakici, Nusret & Whitelaw, Robert F., 2011. "Maxing out: Stocks as lotteries and the cross-section of expected returns," Journal of Financial Economics, Elsevier, vol. 99(2), pages 427-446, February.
  132. Huang, Tao & Li, Junye, 2019. "Option-Implied variance asymmetry and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 21-36.
  133. Putri P. R. Marditia & James Xaverius & jeff Gerardo & Rya Terassa Manihuru & Ryan Ricardo, 2022. "Arrangement model for the implementation of pledge of shares execution for a public company by private sale to create sustainable economic development," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, vol. 11(1), pages 398-406, January.
  134. Muradoğlu, Yaz Gülnur & Sivaprasad, Sheeja, 2012. "Capital structure and abnormal returns," International Business Review, Elsevier, vol. 21(3), pages 328-341.
  135. Andreas Oehler & Julian Schneider, 2022. "Gambling with lottery stocks?," Journal of Asset Management, Palgrave Macmillan, vol. 23(6), pages 477-503, October.
  136. Don Galagedera & Elizabeth Maharaj, 2008. "Wavelet timescales and conditional relationship between higher-order systematic co-moments and portfolio returns," Quantitative Finance, Taylor & Francis Journals, vol. 8(2), pages 201-215.
  137. Canela, Miguel Angel & Collazo, Eduardo Pedreira, 2007. "Portfolio selection with skewness in emerging market industries," Emerging Markets Review, Elsevier, vol. 8(3), pages 230-250, September.
  138. Panait, Iulian & Slavescu, Ecaterina Oana, 2012. "Skewness in stock returns: evidence from the Bucharest stock exchange during 2000 – 2011," MPRA Paper 38751, University Library of Munich, Germany.
  139. Daglish, Toby, 2008. "The Effect of Asset Price Jumps on Consumption and Investment Decisions," Working Paper Series 4006, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  140. Dheeraj Misra & Sushma Vishnani & Ankit Mehrotra, 2019. "Four-moment CAPM Model: Evidence from the Indian Stock Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(1_suppl), pages 137-166, April.
  141. Chen, Dongxu & Wu, Ke & Zhu, Yifeng, 2022. "Stock return asymmetry in China," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
  142. Emmanuel Jurczenko & Bertrand Maillet & Paul Merlin, 2008. "Efficient Frontier for Robust Higher-order Moment Portfolio Selection," Post-Print halshs-00336475, HAL.
  143. Lau, Hon-Shiang & Lau, Amy Hing-Ling & Kottas, John F., 2000. "A comparison of procedures for estimating the parent probability distribution from a given set of fractiles," European Journal of Operational Research, Elsevier, vol. 120(3), pages 657-670, February.
  144. Ebrahim Khodadady & Mozhgan Ashrafborji, 2013. "Motivations Underlying English Language Learning and Achievement," SAGE Open, , vol. 3(2), pages 21582440134, April.
  145. 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.
  146. Oghenovo A. Obrimah, 2023. "Underpricing of initial public offerings (IPOs) and the credibility of underwriters’ pricing services," SN Business & Economics, Springer, vol. 3(2), pages 1-33, February.
  147. Joro, Tarja & Na, Paul, 2006. "Portfolio performance evaluation in a mean-variance-skewness framework," European Journal of Operational Research, Elsevier, vol. 175(1), pages 446-461, November.
  148. Manolis G. Kavussanos & Stelios N. Marcoulis, 1998. "Beta comparisons across industries—a Water transportation industry perspective," Maritime Policy & Management, Taylor & Francis Journals, vol. 25(2), pages 175-184, January.
  149. Paul Karehnke & Frans de Roon, 2020. "Spanning Tests for Assets with Option-Like Payoffs: The Case of Hedge Funds," Management Science, INFORMS, vol. 66(12), pages 5969-5989, December.
  150. Li, Yulin & Wald, John K. & Wang, Zijun, 2020. "Sovereign bonds, coskewness, and monetary policy regimes," Journal of Financial Stability, Elsevier, vol. 50(C).
  151. Lorraine D’Mello & Sheeja Sivaprasad, 2015. "An Investment Strategy Based on Leverage: Evidence from BSE 500," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 14(3), pages 210-238, December.
  152. Beverly L. Hadaway & Samuel C. Hadaway, 1981. "An Analysis Of The Performance Characteristics Of Converted Savings And Loan Associations," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 4(3), pages 195-206, September.
  153. repec:vuw:vuwscr:19107 is not listed on IDEAS
  154. Andrew J. Senchack Jr. & William L. Beedles, 1979. "Price Behavior In A Regional Over-The-Counter Securities Market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 2(2), pages 119-131, September.
  155. Post, G.T., 2001. "Testing for Stochastic Dominance with Diversification Possibilities," ERIM Report Series Research in Management ERS-2001-38-F&A, 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 University Rotterdam.
  156. Doan, Phuong & Lin, Chien-Ting & Zurbruegg, Ralf, 2010. "Pricing assets with higher moments: Evidence from the Australian and us stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(1), pages 51-67, February.
  157. Edward R. Lawrence & John Geppert & Arun J. Prakash, 2007. "Asset pricing models: a comparison," Applied Financial Economics, Taylor & Francis Journals, vol. 17(11), pages 933-940.
  158. Chunhachinda, Pornchai & Dandapani, Krishnan & Hamid, Shahid & Prakash, Arun J., 1997. "Portfolio selection and skewness: Evidence from international stock markets," Journal of Banking & Finance, Elsevier, vol. 21(2), pages 143-167, February.
  159. Back, Kerry, 2014. "A characterization of the coskewness–cokurtosis pricing model," Economics Letters, Elsevier, vol. 125(2), pages 219-222.
  160. Li, Xiang & Qin, Zhongfeng & Kar, Samarjit, 2010. "Mean-variance-skewness model for portfolio selection with fuzzy returns," European Journal of Operational Research, Elsevier, vol. 202(1), pages 239-247, April.
  161. Tihana Škrinjarić & Boško Šego, 2018. "Using Grey Incidence Analysis Approach in Portfolio Selection," IJFS, MDPI, vol. 7(1), pages 1-16, December.
  162. Lykourgos Alexiou & Leonidas S. Rompolis, 2022. "Option‐implied moments and the cross‐section of stock returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(4), pages 668-691, April.
  163. Adler Haymans MANURUNG & Fadh Fauzi HIBATULLAH & Jadongan SIJABAT, 2023. "Stock Selection Using Roy Criteria to Construct a Portfolio and the Effects of Variables on Portfolio Return," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 12(3), pages 1-2.
  164. Melisa Ozdamar & Levent Akdeniz & Ahmet Sensoy, 2021. "Lottery-like preferences and the MAX effect in the cryptocurrency market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-27, December.
  165. Michael Cain & David Peel, 2004. "The utility of gambling and the favourite-longshot bias," The European Journal of Finance, Taylor & Francis Journals, vol. 10(5), pages 379-390.
  166. Goh, Joel Weiqiang & Lim, Kian Guan & Sim, Melvyn & Zhang, Weina, 2012. "Portfolio value-at-risk optimization for asymmetrically distributed asset returns," European Journal of Operational Research, Elsevier, vol. 221(2), pages 397-406.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.