IDEAS home Printed from https://ideas.repec.org/a/bla/jfnres/v12y1989i3p253-260.html
   My bibliography  Save this article

Skewness And Kurtosis In Japanese Equity Returns: Empirical Evidence

Author

Listed:
  • Raj Aggarwal
  • Ramesh P. Rao
  • Takato Hiraki

Abstract

No abstract is available for this item.

Suggested Citation

  • 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, vol. 12(3), pages 253-260, September.
    • Handle: RePEc:bla:jfnres:v:12:y:1989:i:3:p:253-260
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1989.tb00518.x
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Kon, Stanley J, 1984. "Models of Stock Returns-A Comparison," Journal of Finance, American Finance Association, vol. 39(1), pages 147-165, March.
    2. Rubinstein, Mark E., 1973. "The Fundamental Theorem of Parameter-Preference Security Valuation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 8(1), pages 61-69, January.
    3. Jaffe, Jeffrey & Westerfield, Randolph, 1985. "Patterns in Japanese Common Stock Returns: Day of the Week and Turn of the Year Effects," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(2), pages 261-272, June.
    4. Sears, R Stephen & Wei, K C John, 1985. "Asset Pricing, Higher Moments, and the Market Risk Premium: A Note," Journal of Finance, American Finance Association, vol. 40(4), pages 1251-1253, September.
    5. Kane, Alex, 1982. "Skewness Preference and Portfolio Choice," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(1), pages 15-25, March.
    6. Lee, Cheng F & Wu, Chunchi, 1985. "The Impacts of Kurtosis on Risk Stationarity: Some Empirical Evidence," The Financial Review, Eastern Finance Association, vol. 20(4), pages 263-269, November.
    7. Simkowitz, Michael A. & Beedles, William L., 1978. "Diversification in a Three-Moment World," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(5), pages 927-941, December.
    8. Beedles, Wiliam L. & Simkowitz, Michael A., 1980. "Morphology of asset asymmetry," Journal of Business Research, Elsevier, vol. 8(4), pages 457-468, December.
    9. Singleton, J. Clay & Wingender, John, 1986. "Skewness Persistence in Common Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(3), pages 335-341, September.
    10. Scott, Robert C & Horvath, Philip A, 1980. "On the Direction of Preference for Moments of Higher Order Than the Variance," Journal of Finance, American Finance Association, vol. 35(4), pages 915-919, September.
    11. Paul A. Samuelson, 1970. "The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 37(4), pages 537-542.
    12. William L. Beedles, 1984. "The Anomalous And Asymmetric Nature Of Equity Returns: An Empirical Synthesis," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 7(2), pages 151-160, June.
    13. Kato, Kiyoshi & Schallheim, James S., 1985. "Seasonal and Size Anomalies in the Japanese Stock Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(2), pages 243-260, June.
    Full references (including those not matched with items on IDEAS)

    Citations

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


    Cited by:

    1. Gordon Tang & Daniel Choi, 1998. "Impact of diversification on the distribution of stock returns: International evidence," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 22(2), pages 119-127, June.
    2. Menezes, Carmen F. & Wang, X.Henry, 2005. "Increasing outer risk," Journal of Mathematical Economics, Elsevier, vol. 41(7), pages 875-886, November.
    3. Raj Aggarwal & Reena Aggarwal, 1993. "Security Return Distributions And Market Structure: Evidence From The Nyse/Amex And The Nasdaq Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 16(3), pages 209-220, September.
    4. Constand, Richard L. & Pace, R. Daniel, 1998. "Another look at corporate ownership in Japan," Global Finance Journal, Elsevier, vol. 9(1), pages 127-147.
    5. Hutson, Elaine & Kearney, Colm & Lynch, Margaret, 2008. "Volume and skewness in international equity markets," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1255-1268, July.
    6. 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.
    7. Kanwal Iqbal Khan & Syed M. Waqar Azeem Naqvi & Muhammad Mudassar Ghafoor & Rana Shahid Imdad Akash, 2020. "Sustainable Portfolio Optimization with Higher-Order Moments of Risk," Sustainability, MDPI, vol. 12(5), pages 1-14, March.
    8. Gordon Tang, 1998. "Monthly Pattern and Portfolio Effect on Higher Moments of Stock Returns: Empirical Evidence from Hong Kong," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 5(3), pages 275-307, November.
    9. Aggarwal, Raj & Schatzberg, John D., 1997. "Day of the week effects, information seasonality, and higher moments of security returns," Journal of Economics and Business, Elsevier, vol. 49(1), pages 1-20, February.
    10. Tang, Gordon Y. N., 1997. "Impact of the day-of-the-week effect on diversification of exchange rate risks," International Business Review, Elsevier, vol. 6(1), pages 35-51, February.
    11. Carlos MACHADO-SANTOS & Ana Cristina FERNANDES, 2005. "Skewness in Financial Returns: Evidence from the Portuguese Stock Market (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 55(9-10), pages 460-470, September.
    12. Grodecka, Anna & Kotidis, Antonis, 2016. "Double Liability in a Branch Banking System: Historical Evidence from Canada," Working Paper Series 316, Sveriges Riksbank (Central Bank of Sweden).
    13. A. Gregoriou & A. Kontonikas & N. Tsitsianis, 2004. "Does the day of the week effect exist once transaction costs have been accounted for? Evidence from the UK," Applied Financial Economics, Taylor & Francis Journals, vol. 14(3), pages 215-220.
    14. Fabio Pizzutilo, 2013. "The Distribution of the Returns of Japanese Stocks and Portfolios," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 3(9), pages 1249-1259, September.
    15. Ratner, Mitchell, 1996. "Investigating the behavior and characteristics of the Madrid Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 20(1), pages 135-149, January.
    16. 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.
    17. H S Ryoo, 2007. "A compact mean-variance-skewness model for large-scale portfolio optimization and its application to the NYSE market," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 58(4), pages 505-515, April.
    18. Alexander Eastman & Brian Lucey, 2008. "Skewness and asymmetry in futures returns and volumes," Applied Financial Economics, Taylor & Francis Journals, vol. 18(10), pages 777-800.
    19. Khaki, Audil & Prasad, Mason & Al-Mohamad, Somar & Bakry, Walid & Vo, Xuan Vinh, 2023. "Re-evaluating portfolio diversification and design using cryptocurrencies: Are decentralized cryptocurrencies enough?," Research in International Business and Finance, Elsevier, vol. 64(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. 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.
    2. Flores-Ortega, Miguel. & Flores-Castillo, Lilia Alejandra. & Paredes-Gómez, Angelica., 2014. "Selección de portafolios de inversión incluyendo el efecto de asimetría: evidencia con activos de la Bolsa Mexicana de Valores," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 0(19), pages 77-101, segundo s.
    3. Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2022. "A meta-measure of performance related to both investors and investments characteristics," Annals of Operations Research, Springer, vol. 313(2), pages 1405-1447, June.
    4. Walter Briec & Kristiaan Kerstens & Octave Jokung, 2007. "Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach," Management Science, INFORMS, vol. 53(1), pages 135-149, January.
    5. Gordon Tang, 1998. "Monthly Pattern and Portfolio Effect on Higher Moments of Stock Returns: Empirical Evidence from Hong Kong," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 5(3), pages 275-307, November.
    6. 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.
    7. 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.
    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. Sun, Qian & Yan, Yuxing, 2003. "Skewness persistence with optimal portfolio selection," Journal of Banking & Finance, Elsevier, vol. 27(6), pages 1111-1121, June.
    10. Racicot, François-Éric & Théoret, Raymond, 2018. "Multi-moment risk, hedging strategies, & the business cycle," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 637-675.
    11. Francois-Éric Racicot & Raymond Théoret & Alain Coen, 2006. "Towards New Empirical Versions of Financial and Accounting Models Corrected for Measurement Errors," RePAd Working Paper Series UQO-DSA-wp132006, Département des sciences administratives, UQO.
    12. Gordon Tang, 1996. "Day-of-the-week effect on skewness and kurtosis: a direct test and portfolio effect," The European Journal of Finance, Taylor & Francis Journals, vol. 2(4), pages 333-351.
    13. 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).
    14. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, November.
    15. Alexander Eastman & Brian Lucey, 2008. "Skewness and asymmetry in futures returns and volumes," Applied Financial Economics, Taylor & Francis Journals, vol. 18(10), pages 777-800.
    16. 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.
    17. Briec, Walter & Kerstens, Kristiaan, 2010. "Portfolio selection in multidimensional general and partial moment space," Journal of Economic Dynamics and Control, Elsevier, vol. 34(4), pages 636-656, April.
    18. Tang, Gordon Y. N., 1997. "Impact of the day-of-the-week effect on diversification of exchange rate risks," International Business Review, Elsevier, vol. 6(1), pages 35-51, February.
    19. Jing-Yi Lai, 2012. "An empirical study of the impact of skewness and kurtosis on hedging decisions," Quantitative Finance, Taylor & Francis Journals, vol. 12(12), pages 1827-1837, December.
    20. Emmanuel Jurczenko & Bertrand Maillet & Paul Merlin, 2008. "Efficient Frontier for Robust Higher-order Moment Portfolio Selection," Post-Print halshs-00336475, HAL.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jfnres:v:12:y:1989:i:3:p:253-260. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/sfaaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.