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| Author: | Tang, G. Y. N. Shum, W. S. |
| Title: | The Relationships between Unsystematic Risk, Skewness and Stock Returns During Up and Down Markets |
| Journal: | International Business Review
2003 : OCT, VOL. 12:5, p.523-541 |
| Index terms: | RISK MANAGEMENT STOCK MARKETS STOCKS RISK MEASUREMENT |
| Language: | eng |
| Abstract: | A recent article published in International Business Review argues for the usefulness of beta as a measure of risk in international stock markets. The beta-return relationship is significantly positive (negative) when the market excess returns are positive (negative). This paper extends their study further by examining other statistical risk measures. It is well known that stock returns are non- normally distributed with significant skew-ness and kurtosis. The results support previous findings and add that other statistical risk measures are also useful in explaining the cross-sectional variations in international stock returns, and hence, are relevant to portfolio managers. |
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