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On the Asymmetry of Market Returns

Published online by Cambridge University Press:  06 April 2009

William L. Beedles
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Extract

During the late 1960s and throughout the 1970s, a myriad of tests of the two-parameter capital asset pricing model (hereafter CAPM) have been executed and reported in the literature. Relatively recently, much attention has been focused on the asymmetry—skewness—of realized asset, portfolio, and market return distributions. The intent of the present effort is to report the results of an investigation of the asymmetry of one of these variables—the returns of the market portfolio.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 14 , Issue 3 , September 1979 , pp. 653 - 660
Copyright
Copyright © School of Business Administration, University of Washington 1979

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References

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