Affiliation:
1. University of Queensland
2. New South Wales
Abstract
The two-moment, mean-variance model of asset pricing is tested against data from the Melbourne stock exchange. The model appears to describe the data quite well, though there are problems in experimental design which are yet to be cleared up. Neither variance nor skewness appears to explain additional price behaviour to that explained by covariance, as is predicted by the two-moment model.
Subject
General Business, Management and Accounting
Cited by
34 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献