The expected absolute return belongs to a class of risk measure derived by Luce (1980) from axioms. The paper considers the time series properties of and also the marginal distribution properties, for various properties of ?. Using a long daily stock index series it is found that the...

This paper analyzes the effects of individual-specific size factors in a dynamic panel regression model. Theory and simulation show that an individual-specific size factor, with a fat-tailed distribution or a time-varying property, may cause spurious stochastics. If a pair of panel variables...