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    Non-normality and risk in developing Asian markets

    Access Status
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    Authors
    Alles, Lakshman
    Murray, L.
    Date
    2010
    Type
    Journal Article
    
    Metadata
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    Citation
    Alles, L. and Murray, L. 2010. Non-normality and risk in developing Asian markets. Review of Pacific Basin Financial Markets and Policies. 13 (4): pp. 583-605.
    Source Title
    Review of Pacific Basin Financial Markets and Policies
    DOI
    10.1142/S0219091510002086
    ISSN
    0219-0915
    School
    School of Economics and Finance
    URI
    http://hdl.handle.net/20.500.11937/42666
    Collection
    • Curtin Research Publications
    Abstract

    This paper examines whether additional risk factors such as the variance, skewness, and coskewness of returns offer an appropriate explanation of company returns in less developed capital markets. Arguments for considering some additional factors in pricing models to better deal with such situations are presented. Using individual company returns from a range of developing Asian capital markets, empirical tests examine the importance of these extra risk factors. Results indicate that both individually and when in combination, variance and coskewness are significantly related to returns in these markets. Skewness is less consistently important. Robustness tests confirm that these measures tend not to capture size or book to market factors.

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