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Asymmetry in Australian Equity Returns

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  • William L. Beedles

    (The School of Business, University of Kansas, Lawrence, KS 66045, U.S.A.)

Abstract

The importance of asymmetry in investment assessment is established and past research into the matter for Australian and U.S. equities is reviewed. Asymmetry, especially of the positive variety, is found to be a prevalent empirical phenomenon for Australian shares. Diversification is found to increase average asymmetry decreases with diversification. Evidence regarding the stationarity of cross-sectional asymmetry distributions is mixed.

Suggested Citation

  • William L. Beedles, 1986. "Asymmetry in Australian Equity Returns," Australian Journal of Management, Australian School of Business, vol. 11(1), pages 1-12, June.
    • Handle: RePEc:sae:ausman:v:11:y:1986:i:1:p:1-12
    DOI: 10.1177/031289628601100101
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    References listed on IDEAS

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    Cited by:

    1. Doan, Phuong & Lin, Chien-Ting & Zurbruegg, Ralf, 2010. "Pricing assets with higher moments: Evidence from the Australian and us stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(1), pages 51-67, February.

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