haku: @author Hiraki, T. / yhteensä: 2
viite: 2 / 2
« edellinen | seuraava »
| Tekijä: | Aggarwal, R. Rao, R. P. Hiraki, T. |
| Otsikko: | Skewness and kurtosis in Japanese equity returns: empirical evidence. |
| Lehti: | Journal of Financial Research
1989 : AUTUMN, VOL. 12:3, p. 253-260 |
| Asiasana: | STOCK MARKETS RATE OF RETURN JAPAN |
| Kieli: | eng |
| Tiivistelmä: | The authors examine the distribution of equity returns on the Tokyo Stock Exchange from 1965 to 1984. They found significant and persistent skewness and kurtosis. The deviation of security returns from normally declines with increasing portfolio size and is larger than the non-normality evidenced in U.S. security returns. Finally, these deviations from normality persist even after removing the effects of January an and firm size. |
« edellinen | seuraava »
SCIMA