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up. Neither variance nor skewness appears to explain additional price behaviour to that explained by covariance, as is …
Persistent link: https://www.econbiz.de/10010769269
The empirical frequency distributions of continuously-compounded monthly share returns on the Melbourne Stock Exchange over 1958-73 are studied for individual securities and portfolios. The typical distributional shape is observed and the stable Paretian and Student t distributions are fitted to...
Persistent link: https://www.econbiz.de/10010769314
The importance of asymmetry in investment assessment is established and past research into the matter for Australian and U.S. equities is reviewed. Asymmetry, especially of the positive variety, is found to be a prevalent empirical phenomenon for Australian shares. Diversification is found to...
Persistent link: https://www.econbiz.de/10010769351
The multivariate normality of stock returns is a crucial assumption in many tests of assets pricing models. While past Australian research has examined the univariate normality of returns, univariate test statistics are unreliable for testing multivariate normality since they ignore the...
Persistent link: https://www.econbiz.de/10010769481
measured relative skewness. A similar procedure is applied to Brown's file of Melbourne share returns, with the results …
Persistent link: https://www.econbiz.de/10010769630