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Skewness and Investors' Decisions: A Reply

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  • Arditti, Fred D.

Abstract

Jack Clack Francis' paper is a most interesting and provocative one, because it is the first to present empirical evidence questioning the importance of a distribution's skewness parameter in the investor's decision process. In particular, Francis claims his evidence demonstrates that stock market investors do not consider skewness in choosing among alternative investments.

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  • Arditti, Fred D., 1975. "Skewness and Investors' Decisions: A Reply," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 10(1), pages 173-176, March.
    • Handle: RePEc:cup:jfinqa:v:10:y:1975:i:01:p:173-176_01
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    Cited by:

    1. Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2015. "Efficient Skewness/Semivariance Portfolios," GEMF Working Papers 2015-05, GEMF, Faculty of Economics, University of Coimbra.
    2. Ricardo Pereira, 2007. "The Cost Of Equity Of Portuguese Public Firms: A Downside Risk Approach," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, vol. 0(1), pages 7-25.
    3. Kerstens, Kristiaan & Mounir, Amine & Van de Woestyne, Ignace, 2011. "Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function," European Journal of Operational Research, Elsevier, vol. 210(1), pages 81-94, April.
    4. J. Francisco Rubio & Neal Maroney & M. Kabir Hassan, 2018. "Can Efficiency of Returns Be Considered as a Pricing Factor?," Computational Economics, Springer;Society for Computational Economics, vol. 52(1), pages 25-54, June.
    5. 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.
    6. 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.

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