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AA00260492-19940001-0021.pdf
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Title |
Title |
ASYMMETRY OF MARKET RETURNS AND THE MEAN VARIANCE FRONTIER
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SENGUPTA, Jati K.
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University of California
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PARK, Hyung S.
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University of California
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Keio Economic Society, Keio University
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1994
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Keio economic studies
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31
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1
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1994
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Start page |
21
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36
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Abstract |
The hypothesis that the skewness and asymmetry have no significant impact on the mean variance frontier is found to be strongly violated by monthly U.S. data over the period January 1965 through December 1974. This result raises serious doubts whether the common market portifolios such as SP 500, value weighted and equal weighted returns can serve as suitable proxies for meanvariance efficient portfolios in the CAPM framework. A new test for assessing the impact of skewness on the variance frontier is developed here and empirically applied. This has important implications for models of market volatility characterized by conditional variances of market returns.
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