Hostname: page-component-76fb5796d-22dnz Total loading time: 0 Render date: 2024-04-28T15:06:30.740Z Has data issue: false hasContentIssue false
  • English
  • Français

Skewness and Investors' Decisions

Published online by Cambridge University Press:  19 October 2009

Jack Clark Francis
Get access Rights & Permissions [Opens in a new window]

Extract

It has been suggested by many [1, 2, 5, 6, 7, 10 and more] and denied by few that, ceteris paribus, a well-informed risk-averse investor should prefer investments which have positively skewed distributions of rates of return. Passing over the models which underlie such assertions, the question is addressed empirically here. Do (as opposed to “should”) investors prefer investments that are positively skewed, ceteris paribus?

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 10 , Issue 1 , March 1975 , pp. 163 - 172
Copyright
Copyright © School of Business Administration, University of Washington 1975

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

[1]Arditti, Fred D. “Another Look at Mutual Fund Performance.” Journal of Financial and Quantitative Analysis, June 1971.CrossRefGoogle Scholar
[2]Arditti, Fred D. “Risk and the Required Rate of Return.” Journal of Finance, March 1967.CrossRefGoogle Scholar
[3]Arditti, Fred D., and Levy, Hiam. “Distribution Moments and Equilibrium: A Comment.” Journal of Financial and Quantitative Analysis, January 1972.Google Scholar
[4]Francis, J. C.Investments: Analysis and Management. New York: McGraw-Hill, 1972.Google Scholar
[5]Jean, William H. “More on Multidimensional Portfolio Analysis.” Journal of Financial and Quantitative Analysis, June 1973.CrossRefGoogle Scholar
[6]Jean, William H. “The Extension of Portfolio Analysis to Three or More Parameters.” Journal of Financial and Quantitative Analysis, January 1971.CrossRefGoogle Scholar
[7]Levy, H., and Sarnat, M.. Investment and Portfolio Analysis. New York: John Wiley & Sons, 1972, Chapter 7.Google Scholar
[8]Sharpe, W. F. “Mutual Fund Performance Market: Some Empirical Evidence.” Journal of Business, Supplementary Volume 39, No. 1, Part 2 (January 1966)Google Scholar
[9]Vickers Associates, Inc., Vickers Guide to Investment Companies, and other Vickers information.Google Scholar
[10]Whitmore, G. A. “Third Degree Stochastic Dominance,” American Economic Review, June 1970. (Read Appendix D to Chapter 14 of [4] for background about stochastic dominance.)Google Scholar
[11]Weisenberger Services, Inc., Investment Companies, 1970.Google Scholar