Risk-Return Trade-off: Suspicious Effect of Skewness -An Empirical study of Chinese Firms

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Risk-Return Trade-off: Suspicious Effect of Skewness -An Empirical study of Chinese Firms

Enlightened by Henkel (2000, 2008), the reported research focuses on examine the effect of skewed return distribution on the inverse risk return relationship. This study will be based on empirical data of Chinese listed firms from 1999-2012. It is found that the distribution of ROA is left-skewed in...

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Bibliographic Details
Main Author:	Bi, Yue
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2013
Subjects:	risk-return trade off statistical artifact skewed return distribution median- absolute deviation relationship state-controlled companies non-state-controlled companies Chinese listed market
Online Access:	https://eprints.nottingham.ac.uk/26771/

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