Christian Pedersen

Soosung Hwang

English

Research Papers in Economics

A characterisation of the distributions that imply meanvariance utility functions.

A Simpliﬁed model for portfolio analysis.

An analysis of risk in Bull and Bear markets.

An examination of risk-return relationship in bull and bear markets using time-varying betas.

An extended family of ﬁnancial risk measures.

Asset-pricing in a generalised mean-lower partial moment framework : Theory and evidence.

Asymmetric response asset pricing models: Testable alternatives to mean-variance.

Autoregressive Conditional Skewness.

Capital asset prices : A theory of capital market equilibrium under conditions of risk.

Capital market equilibrium in a mean-lower partial moment framework.

Capital markets : Theory and evidence.

Downside risk.

Empirical tests for di erences in equilibrium risk measure with application to downside risk in small and large UK companies. Cambridge Discussion Papers in Accounting and Finance,

Estimating the dimension of a model.

Estimation and inference in econometrics.

Evidence on the ’growth-optimum’ model.

Failures, acquisitions and post-merger success: The comparative ﬁnancial characteristics of large and small companies.

Finance and the small ﬁrm.

Foundations of risk measurement : I. Risk as a probability of loss.

Four Essays on Risk in Finance.

How to rate management of investment funds. Harvard Business Review, 63—75.Table 1 Returns on FTSE All-Share Index Frequency Maximum Minimum Mean Standard Deviation Skewness Excess

Increasing downside risk.

Information theory and an extension of the Maximum Likelihood Principle. Akademiai Kaido.

Introduction to Econometrics.

Investment policy implications of the capital asset pricing model.

Lower partial moment capital asset pricing model : A reexamination.

Market timing and mutual fund performance: An empirical investigation.

Mean-risk analysis of risk aversion and wealth e ects on optimal portfolios with multiple investment opportunities.

Measuring investment risk: a review.

Mutual fund performance.

Mutual fund systematic risk for bull and bear markets: an empirical investigation.

Non-normality of returns in emerging markets.

Nonlinear Pricing Kernles, Kurtosis Preferences, and Evidence from the Cross-Section of Equity Returns. Working Paper, Indiana University.On Empirical Risk Measurement With Asymmetric Returns

On market timing and investment performance. II statistical procedures for evaluating forecasting skills.

On variance and lower partial moment betas and the equivalence of systematic risk measures.

Optimal rules for ordering uncertain prospects.

Performance measurement in a downside risk framework.

Portfolio selection.

Probability and Statistics.

Security pricing and investment criteria in competitive markets.

Separating risk and return in the CAPM: A general utility-based approach.

Small sample analysis of performance measures in the asymmetric response model. Institute for Financial Research Discussion Papers, Birkbeck College,

Stability tests for alphas and betas over bull and bear market conditions.

Statistical modelling of asymmetric risk in asset returns.

The Asset Allocation Decision in a Loss Aversion World, Financial Econometrics Research Centre, Working Paper WP01-7,

The CAPM debate.

The Hoare Govett smaller companies index 1995-1997.

The performance of small ﬁrms. Croom Helm.

The Theory and Practice of Econometrics. Wiley and sons, 2nd edition.

The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets.

Theory of ﬁnancial decision making. Rowman and Littleﬁeld Publishers Inc.On Empirical Risk Measurement With Asymmetric Returns

Variance and lower partial moment betas as alternative risk measures in cost of capital estimation: A defence of the CAPM beta.

Variance and lower partial moment measures of systematic risk: Some analytical and empirical results.

On Empirical Risk Measurement with Asymmetric Returns Data

http://www2.warwick.ac.uk/fac/soc/wbs/research/wfri/rsrchcentres/ferc/wrkingpaprseries/fwp02-03.pdf

On Empirical Risk Measurement with Asymmetric Returns Data

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Research Papers in Economics