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

โœ Scribed by Gordon Y.N. Tang; Wai Cheong Shum

Book ID
108481038
Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
152 KB
Volume
12
Category
Article
ISSN
0969-5931

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The conditional relationship between beta and returns: recent evidence from international stock markets
โœ Gordon Y.N. Tang; Wai C. Shum ๐Ÿ“‚ Article ๐Ÿ“… 2003 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 93 KB

The risk-return relationship is one of the fundamental concepts in finance that is most important to investors and portfolio managers. Finance theory argues that the beta or systematic risk is the only relevant risk measure for investors. However, many studies have showed that betas and returns are