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Stability Of Market Risk Surrogates

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  • Naval K. Modani
  • Philip L. Cooley
  • Rodney L. Roenfeldt

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  • Naval K. Modani & Philip L. Cooley & Rodney L. Roenfeldt, 1983. "Stability Of Market Risk Surrogates," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 6(1), pages 33-40, March.
    • Handle: RePEc:bla:jfnres:v:6:y:1983:i:1:p:33-40
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1983.tb00309.x
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    References listed on IDEAS

    as
    1. Smith, Keith V., 1978. "The Effect of Intervaling on Estimating Parameters of the Capital Asset Pricing Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(2), pages 313-332, June.
    2. Milton Friedman & L. J. Savage, 1948. "The Utility Analysis of Choices Involving Risk," Journal of Political Economy, University of Chicago Press, vol. 56(4), pages 279-279.
    3. Hogan, William W. & Warren, James M., 1974. "Toward the Development of an Equilibrium Capital-Market Model Based on Semivariance," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(1), pages 1-11, January.
    4. Gooding, Arthur E, 1978. "Perceived Risk and Capital Asset Pricing," Journal of Finance, American Finance Association, vol. 33(5), pages 1401-1424, December.
    5. Blume, Marshall E & Friend, Irwin, 1975. "The Asset Structure of Individual Portfolios and Some Implications for Utility Functions," Journal of Finance, American Finance Association, vol. 30(2), pages 585-603, May.
    6. Lee, Cheng F., 1976. "On the Relationship between the Systematic Risk and the Investment Horizon," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 11(5), pages 803-815, December.
    7. Cooley, Philip L & Roenfeldt, Rodney L & Modani, Naval K, 1977. "Interdependence of Market Risk Measures," The Journal of Business, University of Chicago Press, vol. 50(3), pages 356-363, July.
    8. Francis, Jack Clark, 1975. "Skewness and Investors' Decisions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 10(1), pages 163-172, March.
    9. Gooding, Arthur E, 1975. "Quantification of Investors' Perceptions of Common Stocks: Risk and Return Dimensions," Journal of Finance, American Finance Association, vol. 30(5), pages 1301-1316, December.
    10. Erwin M. Saniga & Thomas H. McInish & Bruce K. Gouldey, 1981. "The Effect Of Differencing Interval Length On Beta," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 4(2), pages 129-135, June.
    11. Eugene F. Fama, 1965. "Portfolio Analysis in a Stable Paretian Market," Management Science, INFORMS, vol. 11(3), pages 404-419, January.
    12. Hawawini, Gabriel A., 1980. "An Analytical Examination of the Intervaling Effect on Skewness and Other Moments," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(5), pages 1121-1127, December.
    13. Cooley, Philip L, 1977. "A Multidimensional Analysis of Institutional Investor Perception of Risk," Journal of Finance, American Finance Association, vol. 32(1), pages 67-78, March.
    14. Hawawini, Gabriel A., 1980. "Intertemporal Cross-Dependence in Securities Daily Returns and the Short-Run Intervaling Effect on Systematic Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(1), pages 139-149, March.
    15. Levhari, David & Levy, Haim, 1977. "The Capital Asset Pricing Model and the Investment Horizon," The Review of Economics and Statistics, MIT Press, vol. 59(1), pages 92-104, February.
    16. Blume, Marshall E, 1971. "On the Assessment of Risk," Journal of Finance, American Finance Association, vol. 26(1), pages 1-10, March.
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