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Skewness And Kurtosis In Japanese Equity Returns: Empirical Evidence

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  • Raj Aggarwal
  • Ramesh P. Rao
  • Takato Hiraki

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  • 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
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1989.tb00518.x
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    References listed on IDEAS

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    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.
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    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. 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.
    3. 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.
    4. Menezes, Carmen F. & Wang, X.Henry, 2005. "Increasing outer risk," Journal of Mathematical Economics, Elsevier, vol. 41(7), pages 875-886, November.
    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. 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.
    7. 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.
    8. 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).
    9. 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.
    10. 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.
    11. 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.
    12. 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.
    13. Constand, Richard L. & Pace, R. Daniel, 1998. "Another look at corporate ownership in Japan," Global Finance Journal, Elsevier, vol. 9(1), pages 127-147.
    14. 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.
    15. 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.
    16. 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.
    17. 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.
    18. 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.
    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).

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