Abstract: Usefulness of Historical Risk Data to Estimate the Probability of Future Loss for Common Stocks

Shannon P. Pratt and Frank T. Magiera

Journal of Financial and Quantitative Analysis, 1972, vol. 7, issue 2, 1647-1647

Abstract: The purpose of this research is to compare empirically the usefulness of two historical risk, measures to predict the probability of future loss of various magnitudes resulting from investment in different common stocks. The two risk measures are the mean absolute deviation and the standard deviation of the natural logarithms of monthly investment performance relatives.

Date: 1972
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