IDEAS home Printed from https://ideas.repec.org/a/cup/jfinqa/v9y1974i03p485-489_01.html
   My bibliography  Save this article

A Note on Measurement of Skewness

Author

Listed:
  • Fogler, H. Russell
  • Radcliffe, Robert C.

Abstract

Certainly, the concept of skewness of returns and its role in the context of portfolio analysis has gained increasing attention in recent literature. Witness the studies by Alderfer and Bierman [1], Arditti [2, 3], Jean [4], and Simonson [5]. Each of these studies has treated skewness as the third moment of a series expansion—accordingly, skewness has been measured and interpreted as a logical extension of the traditional two-dimensional return-versus-standard deviation analysis of security evaluation.

Suggested Citation

  • Fogler, H. Russell & Radcliffe, Robert C., 1974. "A Note on Measurement of Skewness," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(3), pages 485-489, June.
    • Handle: RePEc:cup:jfinqa:v:9:y:1974:i:03:p:485-489_01
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0022109000017208/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Adcock, C.J. & Shutes, K., 2005. "An analysis of skewness and skewness persistence in three emerging markets," Emerging Markets Review, Elsevier, vol. 6(4), pages 396-418, December.
    2. William L. Beedles, 1979. "Return, Dispersion, And Skewness: Synthesis And Investment Strategy," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 2(1), pages 71-80, March.
    3. Vanduffel, Steven & Yao, Jing, 2017. "A stein type lemma for the multivariate generalized hyperbolic distribution," European Journal of Operational Research, Elsevier, vol. 261(2), pages 606-612.
    4. Brounen, D., 2008. "The Boom and Gloom of Real Estate Markets," ERIM Inaugural Address Series Research in Management EIA-2008-035-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam..
    5. Prakash, Arun J. & Chang, Chun-Hao & Pactwa, Therese E., 2003. "Selecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets," Journal of Banking & Finance, Elsevier, vol. 27(7), pages 1375-1390, July.
    6. Bernard, Carole & Vanduffel, Steven & Ye, Jiang, 2019. "Optimal strategies under Omega ratio," European Journal of Operational Research, Elsevier, vol. 275(2), pages 755-767.
    7. Rodríguez-Martínez, C.M. & Coronel-Brizio, H.F. & Hernández-Montoya, A.R., 2021. "A multi-scale symmetry analysis of uninterrupted trends returns in daily financial indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
    8. Carl Schweser & Thomas Schneeweis, 1980. "Risk Return And The Multi-Dimensional Security Pricing Market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(1), pages 23-30, March.
    9. Raj Aggarwal & Reena Aggarwal, 1993. "Security Return Distributions And Market Structure: Evidence From The Nyse/Amex And The Nasdaq Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 16(3), pages 209-220, September.
    10. Christian Cordes & Tong-Yaa Su & Pontus Strimling, 2019. "A critical human group size and firm size distributions in industries," Journal of Bioeconomics, Springer, vol. 21(2), pages 123-144, July.
    11. Chunhachinda, Pornchai & Dandapani, Krishnan & Hamid, Shahid & Prakash, Arun J., 1997. "Portfolio selection and skewness: Evidence from international stock markets," Journal of Banking & Finance, Elsevier, vol. 21(2), pages 143-167, February.
    12. C. M. Rodr'iguez-Mart'inez & H. F. Coronel-Brizio & A. R. Hern'andez-Montoya, 2019. "A multi-scale symmetry analysis of uninterrupted trends returns of daily financial indices," Papers 1908.11204, arXiv.org.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:jfinqa:v:9:y:1974:i:03:p:485-489_01. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/jfq .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.