An accounting analysis of the risk-return relationship in bull and bear markets

Review of Financial Economics

Volumn 7, Issue 2, 1998, Pages 173-182

  Kim, Moon K ^a   Ismail, Badr E ^b  

^a SYRACUSE UNIVERSITY   (United States)

^b NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0032337738     PISSN: 10583300     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1058-3300(99)80152-9     Document Type: Article

References (18)

1. Ball, R.J. and P. Brown. 1968. An Empirical Evaluation of Accounting Income Numbers. Journal of Accounting Research (Autumn): 159-78.
2. Barlev, B.W. Denny and H. Levy. 1988. Using Accounting Data for Portfolio Management. Journal of Portfolio Management (Spring): 70-77.
3. Black, F. 1993. Beta and Return. Journal of Portfolio Management (Fall): 8-18.
4. Blume, E.M. and I. Friend. 1978. The Changing Role of Individual Investor (New York: John Wiley).
5. Bookstaber, R. and R. Clarke. 1984. Option Portfolio Strategies: Measurement and Evaluation. Journal of Business (October): 469-492.
6. Brennan, M.J. 1991. A Perspective on Accounting and Stock Prices. The Accounting Review (January): 67-79.
7. Chan, L.K.C. and J. Lakonishok. 1993. Are the Reports of Beta's Death Premature? Journal of Portfolio Management (Summer): 51-62.
8. Chen, S. 1982. An Examination of Risk-Return Relationship in Bull and Bear Markets Using Time-Varying Betas. Journal of Financial and Quantitative Analysis. (June): 265-284.
9. Fama, E.F. and K.R. French. 1992. The Cross-section of Expected Stock Returns. Journal of Finance, (47), 427-465.
10. Friend, I. 1977. Recent Developments in Finance. Journal of Banking and Finance (October): 103-117.
11. Grinold, R. C. 1993. Is Beta Dead Again?. Financial Analysts Journal (July-August): 28-34.
12. Harlow, W. V. 1991. Asset Allocation in a Downside Risk Framework. Financial Analysts Journal (September/October): 28-40.
13. Harlow, W.V. and R.K. Roa. 1989. Asset Pricing in a Mean-Lower Partial Moment Framework: Theory and Evidence. Journal of Financial and Quantitative Analysis (September): 285-311.
14. Kim, M.K. and K. Zumwalt. 1979. An Analysis of Risk in Bull and Bear Markets. Journal of Financial and Quantitative Analysis (December): 1015-1025.
15. Lev, B. 1989. On the Usefulness of Earnings and Earnings Research: Lessons and Directions from Two Decades of Empirical Research. Journal of Accounting Research (Supplement): 153-192.
16. Markowitz, H. 1959. Portfolio Selection. New Haven, Yale University Press.
17. Marmer, H.S. and F.K. Ng. 1993. Mean-Semivariance Analysis of Option-Based Strategies: A Total Asset Mix Perspective. Financial Analysts Journal (May-June): 47-54.
18. Roll, R. and S.A. Ross. 1994. On the Cross-Sectional Relations Between Expected Returns and Betas. Journal of Finance (March): 101-121.