Please use this identifier to cite or link to this item: https://rda.sliit.lk/handle/123456789/698
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dc.contributor.authorMurray, L.-
dc.contributor.authorAlles, L. A-
dc.date.accessioned2022-01-18T07:06:41Z-
dc.date.available2022-01-18T07:06:41Z-
dc.date.issued2010-12-
dc.identifier.urihttp://localhost:80/handle/123456789/698-
dc.description.abstractThis paper examines whether additional risk factors such as the variance, skewness, and coskewness of returns offer an appropriate explanation of company returns in less developed capital markets. Arguments for considering some additional factors in pricing models to better deal with such situations are presented. Using individual company returns from a range of developing Asian capital markets, empirical tests examine the importance of these extra risk factors. Results indicate that both individually and when in combination, variance and coskewness are significantly related to returns in these markets. Skewness is less consistently important. Robustness tests confirm that these measures tend not to capture size or book to market factors.en_US
dc.language.isoenen_US
dc.publisherWorld Scientific Publishing Co. and Center for Pacific Basin Business, Economics and Finance Researchen_US
dc.relation.ispartofseriesReview of Pacific Basin Financial Markets and Policies;Vol 13 Issue 04 Pages 583-605-
dc.subjectRisk measuresen_US
dc.subjectdeveloping marketsen_US
dc.subjectNon-Normalityen_US
dc.subjectAsian Marketsen_US
dc.titleNon-normality and risk in developing Asian marketsen_US
dc.typeArticleen_US
dc.identifier.doihttps://doi.org/10.1142/S0219091510002086en_US
Appears in Collections:Research Papers - SLIIT Staff Publications

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