The relationships between unsystematic risk, skewness and stock returns during up and down markets

International Business Review

Volumn 12, Issue 5, 2003, Pages 523-541

  Tang, Gordon Y N ^a,b   Shum, Wai Cheong ^a  

^a HONG KONG BAPTIST UNIVERSITY   (Hong Kong)

^b UNIVERSITY OF SOUTH AUSTRALIA   (Australia)

Author keywords

Beta; Conditional CAPM; International markets; Risk return; Skewness

Indexed keywords

EID: 0041864069     PISSN: 09695931     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0969-5931(03)00074-X     Document Type: Article

References (22)

1. Ball R. Anomalies in relationships between securities' yields and yield-surrogates Journal of Financial Economics 6 1978 103-126
2. Banz R. The relationship between return and market value of common stocks Journal of Financial Economics 9 1981 3-18
3. Basu S. Investment performance of common stocks in relation to their price-earning ratio: A test of the efficient market hypothesis Journal of Finance 32 1977 663-682
4. Berk J. A critique of size related anomalies Review of Financial Studies 8 1995 275-286
5. Chan L. Hamao Y. Lakonishok J. Fundamentals and stock returns in Japan Journal of Finance 46 1991 1739-1789
6. Fama E. French K. The cross-section of expected stock returns Journal of Finance 47 1992 427-465
7. Fama E. French K. Multifactor explanations of asset pricing anomalies Journal of Finance 51 1996a 55-84
8. Fama E. French K. The CAPM is wanted, dead or alive Journal of Finance 54 1996b 1947-1958
9. Fama E. MacBeth J. Risk, return, and equilibrium: Empirical tests Journal of Political Economy 81 1973 607-636
10. Fletcher J. An examination of the cross-sectional relationship of beta and return: UK evidence Journal of Economics and Business 49 1997 211-221
11. Fletcher J. On the conditional relationship between beta and return in international stock returns International Review of Financial Analysis 9 2000 235-245
12. Hodoshima J. Garza-Gómez X. Kunimura M. Cross-sectional regression analysis of return and beta in Japan Journal of Economics and Business 52 2000 515-533
13. Isakov D. Is beta still alive? Conclusive evidence from the Swiss stock market The European Journal of Finance 5 1999 202-212
14. Jegadeesh N. Does market risk really explain the size effect? Journal of Financial and Quantitative Analysis 27 1992 337-351
15. Lakonishok J. Shapiro A.C. Stock returns, beta, variance and size: An empirical analysis Financial Analysts Journal 40 1984 36-41
16. Lakonishok J. Shleifer A. Vishny R. Contrarian investment, extrapolation, and risk Journal of Finance 49 1994 1541-1578
17. Levy H. Equilibrium in an imperfect market: A constraint on the number of securities in the portfolio American Economic Review 68 1978 643-658
18. Lintner J. The valuation of risk assets and the selection of risky investments in stock portfolios and capital budget Review of Economics and Statistics 47 1965 13-37
19. Pettengill G.N. Sundaram S. Mathur I. The conditional relation between beta and returns Journal of Financial and Quantitative Analysis 30 1995 101-116
20. Scott R. Horvath P. On the direction of preference for moments of higher order than the variance Journal of Finance 35 1980 915-919
21. Sharpe W.F. Capital asset prices: A theory of market equilibrium under conditions of risk Journal of Finance 19 1964 425-442
22. Tang G.Y.N. Shum W.C. The conditional relationship between beta and returns: Recent evidence from international stock markets International Business Review 12 2003 109-126