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Citations for "Risk And The Required Return On Equity"

by Fred D. Arditti

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  1. Panayiotis Artikis & Georgia Nifora, 2012. "Capital Structure, Macroeconomic Variables & Stock Returns. Evidence from Greece," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 18(1), pages 87-101, February.
  2. Canela, Miguel Angel & Collazo, Eduardo Pedreira, 2007. "Portfolio selection with skewness in emerging market industries," Emerging Markets Review, Elsevier, vol. 8(3), pages 230-250, September.
  3. Unser, Matthias, 2000. "Lower partial moments as measures of perceived risk: An experimental study," Journal of Economic Psychology, Elsevier, vol. 21(3), pages 253-280, June.
  4. Juliane Proelss & Denis Schweizer, 2014. "Polynomial goal programming and the implicit higher moment preferences of US institutional investors in hedge funds," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(1), pages 1-28, February.
  5. Agata Sielska, 2010. "Multicriteria rankings of open-end investment funds and their stability," Operations Research and Decisions, Wroclaw University of Technology, Institute of Organization and Management, vol. 1, pages 111-129.
  6. Petros Messis & Achilleas Zapranis, 2014. "Herding behaviour and volatility in the Athens Stock Exchange," Journal of Risk Finance, Emerald Group Publishing, vol. 15(5), pages 572-590.
  7. Peter Christoffersen & Mathieu Fournier & Kris Jacobs & Mehdi Karoui, 2015. "Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk," CREATES Research Papers 2015-54, Department of Economics and Business Economics, Aarhus University.
  8. Evaldo Guimarães Barbosa & Cristiana De Castro Moraes, 2003. "Determinants Of The Firm’S Capital Structure - The Case Of The Very Small Enterprises," Finance 0302001, EconWPA, revised 14 Feb 2003.
  9. Post, G.T., 2001. "Testing for Stochastic Dominance with Diversification Possibilities," ERIM Report Series Research in Management ERS-2001-38-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  10. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis, 2014. "Factor Models of Stock Returns: GARCH Errors versus Time - Varying Betas," DEOS Working Papers 1409, Athens University of Economics and Business.
  11. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis, 2015. "Factor Models as 'Explanatory Unifiers' versus 'Explanatory Ideals' of Empirical Regularities of Stock Returns," DEOS Working Papers 1507, Athens University of Economics and Business.
  12. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa Onur, 2012. "Systematic risk and the cross section of hedge fund returns," Journal of Financial Economics, Elsevier, vol. 106(1), pages 114-131.
  13. Christian Wolff & Thorsten Lehnert & Yuehao Lin, 2014. "Skewness Risk Premium: Theory and Empirical Evidence," LSF Research Working Paper Series 14-05, Luxembourg School of Finance, University of Luxembourg.
  14. Back, Kerry, 2014. "A characterization of the coskewness–cokurtosis pricing model," Economics Letters, Elsevier, vol. 125(2), pages 219-222.
  15. Post, Thierry & van Vliet, Pim, 2006. "Downside risk and asset pricing," Journal of Banking & Finance, Elsevier, vol. 30(3), pages 823-849, March.
  16. Travkin, Alexandr, 2013. "Pair copula constructions in portfolio optimization ploblem," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 32(4), pages 110-133.
  17. Prakash, Arun J. & Chang, Chun-Hao & Pactwa, Therese E., 2003. "Selecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets," Journal of Banking & Finance, Elsevier, vol. 27(7), pages 1375-1390, July.
  18. Colombelli, Alessandra, 2014. "The Impact of Top Management Team Characteristics on Firms Growth," Department of Economics and Statistics Cognetti de Martiis. Working Papers 201428, University of Turin.
  19. Akbar, Muhammad & Nguyen, Thuy Thu, 2016. "The explanatory power of higher moment capital asset pricing model in the Karachi stock exchange," Research in International Business and Finance, Elsevier, vol. 36(C), pages 241-253.
  20. Bhatt , Vaishnavi & Sultan, Jahangir, 2012. "Leverage Risk, Financial Crisis, and Stock Returns: A Comparison among Islamic, Conventional, and Socially Responsible Stocks," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 20, pages 87-143.
  21. 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.
  22. Nurah Musa Allozi & Ghassan S. Obeidat, 2016. "The Relationship between the Stock Return and Financial Indicators (Profitability, Leverage): An Empirical Study on Manufacturing Companies Listed in Amman Stock Exchange," Journal of Social Sciences (COES&RJ-JSS), , vol. 5(3), pages 408-424, July.
  23. repec:kap:iaecre:v:18:y:2012:i:1:p:87-101 is not listed on IDEAS
  24. Li, Xiang & Qin, Zhongfeng & Kar, Samarjit, 2010. "Mean-variance-skewness model for portfolio selection with fuzzy returns," European Journal of Operational Research, Elsevier, vol. 202(1), pages 239-247, April.
  25. Zhong, Angel & Gray, Philip, 2016. "The MAX effect: An exploration of risk and mispricing explanations," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 76-90.
  26. Christodoulakis, George & Peel, David, 2006. "The relationship between expected utility and higher moments for distributions captured by the Gram-Charlier class," Finance Research Letters, Elsevier, vol. 3(4), pages 273-276, December.
  27. Fong, Wai Mun & Lean, Hooi Hooi & Wong, Wing Keung, 2008. "Stochastic dominance and behavior towards risk: The market for Internet stocks," Journal of Economic Behavior & Organization, Elsevier, vol. 68(1), pages 194-208, October.
  28. Eric Jondeau & Michael Rockinger, 2005. "Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?," FAME Research Paper Series rp132, International Center for Financial Asset Management and Engineering.
  29. Fousseni Chabi-Yo, 2012. "Pricing Kernels with Stochastic Skewness and Volatility Risk," Management Science, INFORMS, vol. 58(3), pages 624-640, March.
  30. Lee, Ahyee & Moy, Ronald L. & Lee, Cheng F., 1996. "A multivariate test of the covariance-co-skewness restriction for the three moment CAPM," Journal of Economics and Business, Elsevier, vol. 48(5), pages 515-523, December.
  31. Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2015. "Portfolio Management With Higher Moments: The Cardinality Impact," GEMF Working Papers 2015-15, GEMF - Faculdade de Economia, Universidade de Coimbra.
  32. 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.
  33. Vendrame, Vasco & Tucker, Jon & Guermat, Cherif, 2016. "Some extensions of the CAPM for individual assets," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 78-85.
  34. Low, Rand Kwong Yew & Alcock, Jamie & Faff, Robert & Brailsford, Timothy, 2013. "Canonical vine copulas in the context of modern portfolio management: Are they worth it?," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3085-3099.
  35. Chen, Sheng-Syan & Hsu, Ching-Yu & Huang, Chia-Wei, 2016. "The white squire defense: Evidence from private investments in public equity," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 16-35.
  36. Chan, Raymond H. & Clark, Ephraim & Wong, Wing-Keung, 2016. "On the Third Order Stochastic Dominance for Risk-Averse and Risk-Seeking Investors with Analysis of their Traditional and Internet Stocks," MPRA Paper 75002, University Library of Munich, Germany.
  37. Liu, Liping, 2004. "A new foundation for the mean-variance analysis," European Journal of Operational Research, Elsevier, vol. 158(1), pages 229-242, October.
  38. Simone Cerreia Vioglio & Fabio Maccheroni & Massimo Marinacci, 2015. "Stochastic Dominance Analysis without the Independence Axiom," Working Papers 549, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  39. Tamara Teplova & Evgeniya Shutova, 2011. "A Higher Moment Downside Framework for Conditional and Unconditional Capm in the Russian Stock Market," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 1(2), pages 157-178, December.
  40. John Lintner, 1976. "Interest Rate Expectations and Optimal Forward Commitments for Institutional Investors," NBER Chapters, in: Explorations in Economic Research, Volume 3, number 4, pages 1-76 National Bureau of Economic Research, Inc.
  41. B. Matemilola & A. Bany-Ariffin & W. Azman-Saini, 2012. "Financial Leverage and Shareholder’s Required Returns: Evidence from South Africa Corporate Sector," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 18(3), pages 601-612, March.
  42. Mateja Gabrijelčič & Uroš Herman & Andreja Lenarčič, 2016. "Firm performance and (Foreign) Debt Financing before and During the Crisis: Evidence from Firm-Level Data," Working Papers 15, European Stability Mechanism.
  43. Lau, Hon-Shiang & Lau, Amy Hing-Ling & Kottas, John F., 2000. "A comparison of procedures for estimating the parent probability distribution from a given set of fractiles," European Journal of Operational Research, Elsevier, vol. 120(3), pages 657-670, February.
  44. Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2015. "Efficient Skewness/Semivariance Portfolios," GEMF Working Papers 2015-05, GEMF - Faculdade de Economia, Universidade de Coimbra.
  45. Valery Polkovnichenko, 2005. "Household Portfolio Diversification: A Case for Rank-Dependent Preferences," Review of Financial Studies, Society for Financial Studies, vol. 18(4), pages 1467-1502.
  46. Sévi, Benoît, 2013. "An empirical analysis of the downside risk-return trade-off at daily frequency," Economic Modelling, Elsevier, vol. 31(C), pages 189-197.
  47. Haim Levy, 2004. "Prospect Theory and Mean-Variance Analysis," Review of Financial Studies, Society for Financial Studies, vol. 17(4), pages 1015-1041.
  48. Doan, Phuong & Lin, Chien-Ting & Zurbruegg, Ralf, 2010. "Pricing assets with higher moments: Evidence from the Australian and us stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(1), pages 51-67, February.
  49. Muradoğlu, Yaz Gülnur & Sivaprasad, Sheeja, 2012. "Capital structure and abnormal returns," International Business Review, Elsevier, vol. 21(3), pages 328-341.
  50. Bill Woodland & Linda Woodland, 1999. "Expected utility, skewness, and the baseball betting market," Applied Economics, Taylor & Francis Journals, vol. 31(3), pages 337-345.
  51. Leung, Mark T. & Daouk, Hazem & Chen, An-Sing, 2001. "Using investment portfolio return to combine forecasts: A multiobjective approach," European Journal of Operational Research, Elsevier, vol. 134(1), pages 84-102, October.
  52. Panayiotis Artikis & Georgia Nifora, 2011. "The Industry Effect on the Relationship Between Leverage and Returns," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 1(2), pages 125-145, December.
  53. Goh, Joel Weiqiang & Lim, Kian Guan & Sim, Melvyn & Zhang, Weina, 2012. "Portfolio value-at-risk optimization for asymmetrically distributed asset returns," European Journal of Operational Research, Elsevier, vol. 221(2), pages 397-406.
  54. repec:hal:journl:halshs-00336475 is not listed on IDEAS
  55. Turan G. Bali & Nusret Cakici & Robert F. Whitelaw, 2009. "Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns," NBER Working Papers 14804, National Bureau of Economic Research, Inc.
  56. Luca Riccetti, 2013. "A copula–GARCH model for macro asset allocation of a portfolio with commodities," Empirical Economics, Springer, vol. 44(3), pages 1315-1336, June.
  57. Abdelaziz, Fouad Ben & Aouni, Belaid & Fayedh, Rimeh El, 2007. "Multi-objective stochastic programming for portfolio selection," European Journal of Operational Research, Elsevier, vol. 177(3), pages 1811-1823, March.
  58. 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.
  59. Panayotis Artikis & Georgia Nifora, 2011. "Leverage and Returns in Three Countries of Southern European Region," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 3-26.
  60. Kuznar, Lawrence A. & Frederick, William G., 2003. "Environmental constraints and sigmoid utility: implications for value, risk sensitivity, and social status," Ecological Economics, Elsevier, vol. 46(2), pages 293-306, September.
  61. Trino-Manuel Niguez & Ivan Paya & David Peel & Javier Perote, 2013. "Higher-order moments in the theory of diversification and portfolio composition," Working Papers 18297128, Lancaster University Management School, Economics Department.
  62. Abdoul Salam Diallo & Alfred Mbairadjim Moussa, 2014. "Addressing agent specific extreme price risk in the presence of heterogeneous data sources: A food safety perspective," Working Papers 14-15, LAMETA, Universtiy of Montpellier, revised Dec 2014.
  63. Kim, Thomas, 2015. "Does individual-stock skewness/coskewness reflect portfolio risk?," Finance Research Letters, Elsevier, vol. 15(C), pages 167-174.
  64. Panagiotis Samartzis & Nikitas Pittis & Nikolaos Kourogenis & Phoebe Koundouri, . "Factor Models of Stock Returns: GARCH Errors versus Autoregressive Betas," DEOS Working Papers 1318, Athens University of Economics and Business.
  65. Bali, Turan G. & Cakici, Nusret & Whitelaw, Robert F., 2011. "Maxing out: Stocks as lotteries and the cross-section of expected returns," Journal of Financial Economics, Elsevier, vol. 99(2), pages 427-446, February.
  66. 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.
  67. Eakins, Stanley G. & Stansell, Stanley R. & Below, Scott D., 1996. "The determinants of institutional demand for common stock: Tests of the capm vs. individual stock attributes," International Review of Financial Analysis, Elsevier, vol. 5(3), pages 237-257.
  68. Eleonora Ionela Focsan & Vasile Cristian Ioachim Miron & Ioana Jeler (Popa), 2015. "Du Pont Analysis In The Production And Preservation Of Meat," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 1, pages 140-146, February.
  69. Post, G.T., 2002. "Testing for Third-Order Stochastic Dominance with Diversification Possibilities," ERIM Report Series Research in Management ERS-2002-02-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  70. W. Henry Chiu, 2005. "Skewness Preference, Risk Aversion, and the Precedence Relations on Stochastic Changes," Management Science, INFORMS, vol. 51(12), pages 1816-1828, December.
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