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The Anomalous And Asymmetric Nature Of Equity Returns: An Empirical Synthesis

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  • William L. Beedles

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  • 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.
    • Handle: RePEc:bla:jfnres:v:7:y:1984:i:2:p:151-160
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1984.tb00364.x
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    References listed on IDEAS

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    1. 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.
    2. Michael C. Jensen, 1968. "The Performance Of Mutual Funds In The Period 1945–1964," Journal of Finance, American Finance Association, vol. 23(2), pages 389-416, May.
    3. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
    4. Beedles, William L., 1979. "On the Asymmetry of Market Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(3), pages 653-660, September.
    5. Lewellen, Wilbur G & Lease, Ronald C & Schlarbaum, Gary G, 1977. "Patterns of Investment Strategy and Behavior among Individual Investors," The Journal of Business, University of Chicago Press, vol. 50(3), pages 296-333, July.
    6. Blume, Marshall E & Husic, Frank, 1973. "Price, Beta, and Exchange Listing," Journal of Finance, American Finance Association, vol. 28(2), pages 283-299, May.
    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. 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.
    9. Erwin Taylor, 1947. "Tables for the determination of the significance of skewness and of the significance of the difference in the skewness of two independent distributions," Psychometrika, Springer;The Psychometric Society, vol. 12(2), pages 111-125, June.
    10. Kraus, Alan & Litzenberger, Robert H, 1976. "Skewness Preference and the Valuation of Risk Assets," Journal of Finance, American Finance Association, vol. 31(4), pages 1085-1100, September.
    11. Reinganum, Marc R., 1981. "Misspecification of capital asset pricing : Empirical anomalies based on earnings' yields and market values," Journal of Financial Economics, Elsevier, vol. 9(1), pages 19-46, March.
    12. Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March.
    13. Branch, Ben, 1977. "A Tax Loss Trading Rule," The Journal of Business, University of Chicago Press, vol. 50(2), pages 198-207, April.
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    1. 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.

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