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Selecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets

  • Prakash, Arun J.
  • Chang, Chun-Hao
  • Pactwa, Therese E.

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File URL: http://www.sciencedirect.com/science/article/B6VCY-45R7RDY-4/2/f2bef129211839c6780b5f651a7f017d
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 27 (2003)
Issue (Month): 7 (July)
Pages: 1375-1390

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Handle: RePEc:eee:jbfina:v:27:y:2003:i:7:p:1375-1390
Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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  1. Brown, Stephen J. & Warner, Jerold B., 1985. "Using daily stock returns : The case of event studies," Journal of Financial Economics, Elsevier, vol. 14(1), pages 3-31, March.
  2. Singleton, J. Clay & Wingender, John, 1986. "Skewness Persistence in Common Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(03), pages 335-341, September.
  3. Prakash, Arun J & Bear, Robert M, 1986. "A Simplifying Performance Measure Recognizing Skewness," The Financial Review, Eastern Finance Association, vol. 21(1), pages 135-44, February.
  4. Fogler, H. Russell & Radcliffe, Robert C., 1974. "A Note on Measurement of Skewness," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(03), pages 485-489, June.
  5. Meric, Ilhan & Meric, Gulser, 1989. "Potential gains from international portfolio diversification and inter-temporal stability and seasonality in international stock market relationships," Journal of Banking & Finance, Elsevier, vol. 13(4-5), pages 627-640, September.
  6. 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.
  7. Levy, Haim, 1973. "Stochastic Dominance, Efficiency Criteria, and Efficient Portfolios: The Multi-Period Case," American Economic Review, American Economic Association, vol. 63(5), pages 986-94, December.
  8. Ibbotson, Roger G., 1975. "Price performance of common stock new issues," Journal of Financial Economics, Elsevier, vol. 2(3), pages 235-272, September.
  9. Markowitz, Harry M, 1991. " Foundations of Portfolio Theory," Journal of Finance, American Finance Association, vol. 46(2), pages 469-77, June.
  10. Fred D. Arditti, 1967. "Risk And The Required Return On Equity," Journal of Finance, American Finance Association, vol. 22(1), pages 19-36, 03.
  11. 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.
  12. Rubinstein, Mark E., 1973. "The Fundamental Theorem of Parameter-Preference Security Valuation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 8(01), pages 61-69, January.
  13. Haim Levy, 1972. "Portfolio Performance and the Investment Horizon," Management Science, INFORMS, vol. 18(12), pages B645-B653, August.
  14. Levy, H & Markowtiz, H M, 1979. "Approximating Expected Utility by a Function of Mean and Variance," American Economic Review, American Economic Association, vol. 69(3), pages 308-17, June.
  15. Kumar, P C & Philippatos, George C & Ezzell, John R, 1978. "Goal Programming and the Selection of Portfolios by Dual-Purpose Funds," Journal of Finance, American Finance Association, vol. 33(1), pages 303-10, March.
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