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A Note on Measurement of Skewness

Published online by Cambridge University Press:  19 October 2009

H. Russell Fogler  and
Robert C. Radcliffe
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Extract

Certainly, the concept of skewness of returns and its role in the context of portfolio analysis has gained increasing attention in recent literature. Witness the studies by Alderfer and Bierman [1], Arditti [2, 3], Jean [4], and Simonson [5]. Each of these studies has treated skewness as the third moment of a series expansion—accordingly, skewness has been measured and interpreted as a logical extension of the traditional two-dimensional return-versus-standard deviation analysis of security evaluation.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 9 , Issue 3 , June 1974 , pp. 485 - 489
Copyright
Copyright © School of Business Administration, University of Washington 1974

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References

REFERENCES

[1]Alderfer, Clayton P., and Bierman, Harold. “Choice beyond Risk: Beyond the Mean and Variance.” Journal of Business, July 1970, pp. 341–353.CrossRefGoogle Scholar
[2]Arditti, Fred D. “Risk and the Required Return on Equity.” Journal of Finance, March 1967, pp. 19–36.CrossRefGoogle Scholar
[3]Arditti, Fred D. “Another Look at Mutual Fund Performance.” Journal of finance and Quantitative Analysis, June 1971, pp. 909–912.CrossRefGoogle Scholar
[4]Jean, William H. “The Extension of Portfolio Analysis to Three or More Parameters.” Journal of financial and Quantitative Analysis, January 1971, pp. 505–516.CrossRefGoogle Scholar
[5]Simonson, Donald. “The Speculative Behavior of Mutual Funds.” Journal of finance, May 1972, pp. 381–391.CrossRefGoogle Scholar