We examine the empirical differences in emerging market betas taken across four major currencies (US dollars, sterling, yen, and German marks) where the betas considered are either mean-variance or mean-lower partial moment betas. The mean-variance betas are found to be statistically similar to...

The suitability of the elliptical distribution to model asset returns in applied work is examined. Two frameworks are identified: the first framework allows for normality testing but fails to capture the GARCH effect present in the data; the second framework captures the GARCH effect but has the...

The statistical properties of various measures of risk were investigated with a view to explaining the reasons for lack of use in finance of risk measures other than the variance, and to see if there is a sensible measure to use for cross-European comparisons. As examples, the semi-variance, the...