## Measures of security return dispersion as risk measures: an empoirical investigation |

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12 month sub-intervals 160 securities 1950 to December analysis assumption Average Monthly Return average return CAPM Chapter Class in Period co-dispersion covariance dispersion as risk dispersion measures dispersion variables distribution entry represents ESTIMATED JOINT RISK ESTIMATED TRANSITION MATRIX estimated using 12 estimating the matrix expected return individual securities Inter-Quartile Range interval JOINT OBSERVATIONS JOINT RISK CLASS market index MATRIX USING AVERAGE matrix was estimated monthly observations non-stationarity null hypothesis number of observations o o o o observations on 160 Period t+1 PERIODS FROM JANUARY price changes random variable RANGE OF MONTHLY RANK SUM TEST relationship return dispersion return in period return on 160 RISK CLASS MATRIX risk measure sample securities in class SECURITIES IN SEQUENTIAL security's significant square statistic standard error stationarity stock market sub-intervals of monthly SUM TEST APPLIED theory Unlevered Beta utility function VARIANCE OF MONTHLY variance of return variance-covariance matrix