Access the full text.
Sign up today, get DeepDyve free for 14 days.
Loading next page...
/lp/wiley/a-multivariate-test-of-the-generalised-mean-lower-partial-moment-asset-epiDZVEDDL
References (15)
-
Christine Amsler, P. Schmidt (1985)
A Monte Carlo investigation of the accuracy of multivariate CAPM testsJournal of Financial Economics, 14
-
R. Ball, P. Brown, R. Officer (1976)
Asset Pricing in the Australian Industrial Equity MarketAustralian Journal of Management, 1
-
M. Gibbons, Jay Shanken (1987)
Subperiod aggregation and the power of multivariate tests of portfolio efficiencyJournal of Financial Economics, 19
-
E. Fama, James MacBeth (1973)
Risk, Return, and Equilibrium: Empirical TestsJournal of Political Economy, 81
-
M. Gibbons (1982)
MULTIVARIATE TESTS OF FINANCIAL MODELS A New ApproachJournal of Financial Economics, 10
-
P. Brown, Donald Keim, A. Kleidon, Terry Marsh (1983)
Stock return seasonalities and the tax-loss selling hypothesis: analysis of the arguments and Australian evidence -
A. Mackinlay (1987)
On multivariate tests of the CAPMJournal of Financial Economics, 18
-
R. Faff (1991)
A LIKELIHOOD RATIO TEST OF THE ZERO-BETA CAPM IN AUSTRALIAN EQUITY RETURNSAccounting and Finance, 31
-
W. Harlow, R. Rao (1989)
Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and EvidenceJournal of Financial and Quantitative Analysis, 24
-
Mangan Mangan (1988)
Short‐Selling Emerges from the ShadowsPersonal Investment
-
Bawa (1977)
Capital Market Equilibrium in a Mean-Lower Partial Moment FrameworkJournal of Financial Economics, 5
-
Timothy Nantell, Kelly Price, Barbara Price (1982)
Mean-Lower Partial Moment Asset Pricing Model: Some Empirical EvidenceJournal of Financial and Quantitative Analysis, 17
-
Kelly Price, Barbara Price, Timothy Nantell (1982)
Variance and Lower Partial Moment Measures of Systematic Risk: Some Analytical and Empirical ResultsJournal of Finance, 37
-
V. Bawa, E. Lindenberg (1977)
Abstract: Capital Market Equilibrium in a Mean-Lower Partial Moment FrameworkJournal of Financial and Quantitative Analysis, 12
-
J. Jobson, Bob Korkie (1982)
Potential performance and tests of portfolio efficiencyJournal of Financial Economics, 10
- Publisher
- Wiley
- Copyright
- © 1992 Accounting and Finance Association of Australia and New Zealand
- ISSN
- 0810-5391
- eISSN
- 1467-629X
- DOI
- 10.1111/j.1467-629X.1992.tb00186.x
- Publisher site
- See Article on Publisher Site
Abstract
Abstract: This paper tests the Mean‐Lower Partial Moment (MLPM) model of asset pricing, using the Gibbons (1982) multivariate methodology, as developed by Hariow and Rao (1989). The MLPM model specifies risk to be a measure of the downside deviations of return relative to a prespecified and exogenous target rate of return. The MLPM model of Hariow and Rao is a new model which has only been tested once, using US data. Therefore, further tests using independent data will help to assess whether the model deserves more serious consideration as a possible alternative to the Capital Asset Pricing Model (CAPM). In general, tests in this paper using Australian data confirm the results of Hariow and Rao (1989). The MLPM model cannot be rejected against an unspecified alternative, nor can it be rejected against the zero‐beta CAPM. Conditional on the MLPM model's validity, the optimal target rate appears to be more closely related to mean market returns than either to a risk‐free return or to a zero return. In addition, there is some evidence to support an intertemporally constant target rate of around 3 percent per month, over the 30 year period examined.
Journal
Accounting & Finance – Wiley
Published: Nov 1, 1992