메뉴 건너뛰기




Volumn 39, Issue 6, 2007, Pages 739-757

Skewness preference and the measurement of abnormal returns

Author keywords

[No Author keywords available]

Indexed keywords

EMPIRICAL ANALYSIS; SKEWNESS; STATISTICAL ANALYSIS; STOCK MARKET;

EID: 34247562753     PISSN: 00036846     EISSN: 14664283     Source Type: Journal    
DOI: 10.1080/00036840500439077     Document Type: Article
Times cited : (7)

References (36)
  • 1
    • 84974250704 scopus 로고
    • Composite measures for the evaluation of investment performance
    • Ang, JS and Chua, JH (1979) Composite measures for the evaluation of investment performance. Journal of Financial and Quantitative Analysis, 14, pp. 361-384.
    • (1979) Journal of Financial and Quantitative Analysis , vol.14 , pp. 361-384
    • Ang, J.S.1    Chua, J.H.2
  • 4
    • 84977419016 scopus 로고
    • A re-examination of stock splits using moving betas
    • Bar-Yosef, S. and Brown, LD (1977) A re-examination of stock splits using moving betas. Journal of Finance, 32, pp. 1069-1080.
    • (1977) Journal of Finance , vol.32 , pp. 1069-1080
    • Bar-Yosef, S.1    Brown, L.D.2
  • 6
    • 0142157059 scopus 로고    scopus 로고
    • Long-run performance after stock splits: 1927 to 1996
    • Byun, J. and Rozeff, MS (2003) Long-run performance after stock splits: 1927 to 1996. The Journal of Finance, 58, pp. 1063-1085.
    • (2003) The Journal of Finance , vol.58 , pp. 1063-1085
    • Byun, J.1    Rozeff, M.S.2
  • 8
    • 0000000839 scopus 로고
    • Split information, stock returns and market efficiency
    • Charest, G. (1978) Split information, stock returns and market efficiency. Journal of Financial Economics, 6, pp. 265-296.
    • (1978) Journal of Financial Economics , vol.6 , pp. 265-296
    • Charest, G.1
  • 9
    • 49049148412 scopus 로고
    • Common stock repurchases: An analysis of returns to bondholders and stockholders
    • Dann, LY (1981) Common stock repurchases: An analysis of returns to bondholders and stockholders. Journal of Financial Economics, 9, pp. 113-138.
    • (1981) Journal of Financial Economics , vol.9 , pp. 113-138
    • Dann, L.Y.1
  • 10
    • 49149146329 scopus 로고
    • Merger proposals, management discretion and stock holders wealth
    • Dodd, P. (1980) Merger proposals, management discretion and stock holders wealth. Journal of Financial Economics, 8, pp. 105-137.
    • (1980) Journal of Financial Economics , vol.8 , pp. 105-137
    • Dodd, P.1
  • 11
    • 84944833632 scopus 로고
    • Efficient capital markets: Reply
    • Fama, EF (1976) Efficient capital markets: Reply. The Journal of Finance, 31, pp. 143-145.
    • (1976) The Journal of Finance , vol.31 , pp. 143-145
    • Fama, E.F.1
  • 13
    • 0007471630 scopus 로고
    • Some studies of variability of returns on investments in common stocks
    • Fisher, L. and Lorie, JH (1970) Some studies of variability of returns on investments in common stocks. Journal of Business, 43, pp. 99-134.
    • (1970) Journal of Business , vol.43 , pp. 99-134
    • Fisher, L.1    Lorie, J.H.2
  • 15
    • 0040186059 scopus 로고    scopus 로고
    • Conditional skewness in asset pricing tests
    • Harvey, CR and Siddique, A. (2000) Conditional skewness in asset pricing tests. The Journal of Finance, 55, pp. 1263-1295.
    • (2000) The Journal of Finance , vol.55 , pp. 1263-1295
    • Harvey, C.R.1    Siddique, A.2
  • 16
    • 0002071527 scopus 로고
    • Stocks, bonds, and inflation: Simulations of the future (1976-2000)
    • Ibbotson, RG and Sinquefield, RA (1976) Stocks, bonds, and inflation: simulations of the future (1976-2000). Journal of Business, 49, pp. 313-338.
    • (1976) Journal of Business , vol.49 , pp. 313-338
    • Ibbotson, R.G.1    Sinquefield, R.A.2
  • 18
    • 0000486548 scopus 로고
    • The performance of mutual funds in the period 1945-1964
    • Jensen, MC (1968) The performance of mutual funds in the period 1945-1964. The Journal of Finance, 23, pp. 389-416.
    • (1968) The Journal of Finance , vol.23 , pp. 389-416
    • Jensen, M.C.1
  • 19
    • 0000615046 scopus 로고
    • Risk, the pricing of capital assets, and the evaluation of investment portfolios
    • Jensen, MC (1969) Risk, the pricing of capital assets, and the evaluation of investment portfolios. Journal of Business, 42, pp. 167-247.
    • (1969) Journal of Business , vol.42 , pp. 167-247
    • Jensen, M.C.1
  • 20
    • 84944838305 scopus 로고
    • Skewness preference and the valuation of risk assets
    • Kraus, A. and Litzenberger, RH (1976) Skewness preference and the valuation of risk assets. The Journal of Finance, 31, pp. 1085-1100.
    • (1976) The Journal of Finance , vol.31 , pp. 1085-1100
    • Kraus, A.1    Litzenberger, R.H.2
  • 21
    • 84977717052 scopus 로고
    • Stock splits and stock dividends: Why, who and when
    • Lakonishok, J. and Lev, B. (1987) Stock splits and stock dividends: Why, who and when. The Journal of Finance, 42, pp. 913-932.
    • (1987) The Journal of Finance , vol.42 , pp. 913-932
    • Lakonishok, J.1    Lev, B.2
  • 22
    • 0003114587 scopus 로고
    • The evaluation of risky assets and the selection of risky investments in stock portfolios and capital budgets
    • Lintner, J. (1965) The evaluation of risky assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics, 47, pp. 13-37.
    • (1965) Review of Economics and Statistics , vol.47 , pp. 13-37
    • Lintner, J.1
  • 23
    • 49549160079 scopus 로고
    • Risk and return: The case of merging firms
    • Mandelker, G. (1974) Risk and return: The case of merging firms. Journal of Financial Economics, 1, pp. 303-335.
    • (1974) Journal of Financial Economics , vol.1 , pp. 303-335
    • Mandelker, G.1
  • 24
    • 0000053965 scopus 로고
    • Stock repurchase by tender offer: An analysis of the causes of common stock price Changes
    • Masulis, RW (1980) Stock repurchase by tender offer: An analysis of the causes of common stock price Changes. Journal of Finance, 35, pp. 305-319.
    • (1980) Journal of Finance , vol.35 , pp. 305-319
    • Masulis, R.W.1
  • 27
    • 0002475691 scopus 로고
    • Event studies: A review of issues and methodology, Quarterly
    • Peterson, PP (1989) Event studies: A review of issues and methodology, Quarterly. Journal of Business and Economics, 28, pp. 36-66.
    • (1989) Journal of Business and Economics , vol.28 , pp. 36-66
    • Peterson, P.P.1
  • 28
    • 84984517133 scopus 로고
    • A simplifying performance measure recognizing skewness
    • Prakash, AJ and Bear, RM (1986) A simplifying performance measure recognizing skewness. Financial Review, 21, pp. 135-144.
    • (1986) Financial Review , vol.21 , pp. 135-144
    • Prakash, A.J.1    Bear, R.M.2
  • 29
    • 0038015848 scopus 로고    scopus 로고
    • Selecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets
    • Prakash, AJ, Chang, C-H and Pactwa, TE (2003) Selecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets. Journal of Banking & Finance, 27, pp. 1375-1390.
    • (2003) Journal of Banking & Finance , vol.27 , pp. 1375-1390
    • Prakash, A.J.1    Chang, C.-H.2    Pactwa, T.E.3
  • 30
    • 0002115321 scopus 로고
    • Market efficiency and insider trading: New evidence
    • Rozeff, MS and Zaman, MA (1988) Market efficiency and insider trading: new evidence. Journal of Business, 61, pp. 25-54.
    • (1988) Journal of Business , vol.61 , pp. 25-54
    • Rozeff, M.S.1    Zaman, M.A.2
  • 31
    • 0013178861 scopus 로고
    • The structure of skewness preferences in asset pricing models with higher moments: An empirical test
    • Sears, RS and Wei, KC John (1988) The structure of skewness preferences in asset pricing models with higher moments: An empirical test. Financial Review, 23, pp. 25-38.
    • (1988) Financial Review , vol.23 , pp. 25-38
    • Sears, R.S.1    John Wei, K.C.2
  • 32
    • 0000898845 scopus 로고
    • An analysis of variance test for normality (complete samples)
    • Shapiro, SS and Wilk, MB (1965) An analysis of variance test for normality (complete samples). Biometrika, 52, pp. 591-611.
    • (1965) Biometrika , vol.52 , pp. 591-611
    • Shapiro, S.S.1    Wilk, M.B.2
  • 33
    • 0001217228 scopus 로고
    • A simplified model for portfolio analysis
    • Sharpe, WF (1963) A simplified model for portfolio analysis. Management Science, 9, pp. 277-293.
    • (1963) Management Science , vol.9 , pp. 277-293
    • Sharpe, W.F.1
  • 34
    • 0001752951 scopus 로고
    • Mutual fund performance
    • Sharpe, WF (1966) Mutual fund performance. Journal of Business, 39, pp. 119-138.
    • (1966) Journal of Business , vol.39 , pp. 119-138
    • Sharpe, W.F.1
  • 36
    • 0002332446 scopus 로고
    • How to rate management of investment funds
    • Treynor, JL (1965) How to rate management of investment funds. Harvard Business Review, 43, pp. 63-75.
    • (1965) Harvard Business Review , vol.43 , pp. 63-75
    • Treynor, J.L.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.