Hood, Matthew; Nofsinger, John R.; Small, Kenneth - In: Managerial Finance 35 (2009) March, pp. 385-403
Purpose – The purpose of this paper is to introduce a non-normality premium (NNP) to identify the extra return that will compensate an investor for a non-normal return distribution. The NNP quantifies the economic significance of non-normality to complement a statistical significance test of...