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Volumn 20, Issue 3, 1985, Pages 299-313

Arbitrage Equilibrium with Skewed Asset Returns

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EID: 84974433623     PISSN: 00221090     EISSN: 17566916     Source Type: Journal    
DOI: 10.2307/2331032     Document Type: Article
Times cited : (70)

References (14)
  • 1
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    • The Capital Asset Pricing Model: Some Empirical Tests
    • M. Jensen. ed., NY: Praeger
    • Black, Fischer; Michael Jensen; and Myron Scholes. “The Capital Asset Pricing Model: Some Empirical Tests.” In Studies in the Theory of Capital Markets, M. Jensen. ed., NY: Praeger (1972).
    • (1972) Studies in the Theory of Capital Markets
    • Black, F.1    Jensen, M.2    Scholes, M.3
  • 2
    • 84977380491 scopus 로고
    • On Diversification Given Asymmetry in Returns
    • December
    • Conine, Thomas, and Murray Tamarkin. “On Diversification Given Asymmetry in Returns.” Journal of Finance, Vol. 36 (December 1981), pp. 1143–1155.
    • (1981) Journal of Finance , vol.36 , pp. 1143-1155
    • Conine, T.1    Tamarkin, M.2
  • 3
    • 84977414952 scopus 로고
    • Co-skewness and Capital Asset Pricing
    • September
    • Friend, Irwin, and Randolph Westerfield. “Co-skewness and Capital Asset Pricing.” Journal of Finance, Vol. 35 (September 1980), pp. 897–919.
    • (1980) Journal of Finance , vol.35 , pp. 897-919
    • Friend, I.1    Westerfield, R.2
  • 5
    • 84944838305 scopus 로고
    • Skewness Preference and the Valuation of Risk Assets
    • September
    • Kraus, Alan, and Robert Litzenberger. “Skewness Preference and the Valuation of Risk Assets.” Journal of Finance, Vol. 31 (September 1976), pp. 1085–1100.
    • (1976) Journal of Finance , vol.31 , pp. 1085-1100
    • Kraus, A.1    Litzenberger, R.2
  • 6
    • 0010803127 scopus 로고
    • On the Distributional Conditions for a Consumption-Oriented Three Moment CAPM
    • December
    • “On the Distributional Conditions for a Consumption-Oriented Three Moment CAPM.” Journal of Finance, Vol. 38 (December 1983), pp. 1381–1391.
    • (1983) Journal of Finance , vol.38 , pp. 1381-1391
  • 7
    • 0003292188 scopus 로고
    • Rates of Return in Relation to Risk: A Re-examination of Some Recent Findings
    • M. Jensen, ed., NY: Praeger
    • Miller, Merton, and Myron Scholes. “Rates of Return in Relation to Risk: A Re-examination of Some Recent Findings.” In Studies in the Theory of Capital Markets, M. Jensen, ed., NY: Praeger (1972)
    • (1972) In Studies in the Theory of Capital Markets
    • Miller, M.1    Scholes, M.2
  • 8
    • 0039473752 scopus 로고
    • A Critique of the Asset Pricing Theory's Test
    • March
    • Roll, Richard. “A Critique of the Asset Pricing Theory's Test, Part 1.” Journal of Financial Economics, Vol. 4 (March 1977), pp. 129–176.
    • (1977) Journal of Financial Economics , vol.4 , pp. 129-176
    • Roll, R.1
  • 9
    • 84977397160 scopus 로고
    • An Empirical Investigation of Arbitrage Pricing Theory
    • December
    • Roll, Richard, and Stephen Ross. “An Empirical Investigation of Arbitrage Pricing Theory.” Journal of Finance, Vol. 35 (December 1980), pp. 1073–1103.
    • (1980) Journal of Finance , vol.35 , pp. 1073-1103
    • Roll, R.1    Ross, S.2
  • 10
    • 0000225762 scopus 로고
    • Return, Risk and Arbitrage
    • Friend and B. Bicksler, eds., Cambridge, MA: Ballinger
    • Ross, Stephen. “Return, Risk and Arbitrage.” In Studies in Risk and Return, I. Friend and B. Bicksler, eds., Cambridge, MA: Ballinger (1975).
    • (1975) Studies in Risk and Return
    • Ross, S.1
  • 11
    • 45049085417 scopus 로고
    • The Arbitrage Pricing Theory: Is it Testable?
    • December
    • Shanken, Jay. “The Arbitrage Pricing Theory: Is it Testable?” Journal of Finance, Vol. 37 (December 1982), pp. 1129–1140.
    • (1982) Journal of Finance , vol.37 , pp. 1129-1140
    • Shanken, J.1
  • 12
    • 49049141684 scopus 로고
    • On the Exclusion of Assets from Tests of the Two-Parameter Model: A Sensitivity Analysis
    • November
    • Stambaugh, Robert. “On the Exclusion of Assets from Tests of the Two-Parameter Model: A Sensitivity Analysis.” Journal of Financial Economics, Vol. 10 (November 1982), pp. 237–268.
    • (1982) Journal of Financial Economics , vol.10 , pp. 237-268
    • Stambaugh, R.1
  • 13
    • 84946357749 scopus 로고
    • An Efficient Method of Estimating Seemingly Unrelated Regressions
    • June
    • Zellner, Arnold. “An Efficient Method of Estimating Seemingly Unrelated Regressions.” Journal of the American Statistical Association, Vol. 57 (June 1962), pp. 348–368.
    • (1962) Journal of the American Statistical Association , vol.57 , pp. 348-368
    • Zellner, A.1
  • 14
    • 33845632902 scopus 로고
    • Capital Market Seasonality: The Case of Stock Returns
    • December
    • Rozeff, M.S., and W.R. Kinney. “Capital Market Seasonality: The Case of Stock Returns.” Journal of Financial Economics, Vol. 3 (December 1976), pp. 379–402.
    • (1976) Journal of Financial Economics , vol.3 , pp. 379-402
    • Rozeff, M.S.1    Kinney, W.R.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.