Asymmetry in Australian Equity Returns

William L. Beedles
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William L. Beedles: The School of Business, University of Kansas, Lawrence, KS 66045, U.S.A.

Australian Journal of Management, 1986, vol. 11, issue 1, 1-12

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.

Keywords: ASYMMETRY; SECURITY RETURNS; SKEWNESS (search for similar items in EconPapers)
Date: 1986
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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:11:y:1986:i:1:p:1-12

DOI: 10.1177/031289628601100101

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