TY - JOUR
T1 - Variance and Lower Partial Moment Measures of Systematic Risk
T2 - Some Analytical and Empirical Results
AU - PRICE, KELLY
AU - PRICE, BARBARA
AU - NANTELL, TIMOTHY J.
PY - 1982/6
Y1 - 1982/6
N2 - As a measure of systematic risk, the lower partial moment measure requires fewer restrictive assumptions than does the variance measure. However, the latter enjoys far wider usage than the former, perhaps because of its familiarity and the fact that two measures of systematic risk are equivalent when return distributions are normal. This paper shows analytically that there are systematic differences in the two risk measures when return distributions are lognormal. Results of empirical tests show that there are indeed systematic differences in measured values of the two risk measures for securities with above average and with below average systematic risk. 1982 The American Finance Association
AB - As a measure of systematic risk, the lower partial moment measure requires fewer restrictive assumptions than does the variance measure. However, the latter enjoys far wider usage than the former, perhaps because of its familiarity and the fact that two measures of systematic risk are equivalent when return distributions are normal. This paper shows analytically that there are systematic differences in the two risk measures when return distributions are lognormal. Results of empirical tests show that there are indeed systematic differences in measured values of the two risk measures for securities with above average and with below average systematic risk. 1982 The American Finance Association
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U2 - 10.1111/j.1540-6261.1982.tb02227.x
DO - 10.1111/j.1540-6261.1982.tb02227.x
M3 - Article
AN - SCOPUS:0001663570
SN - 0022-1082
VL - 37
SP - 843
EP - 855
JO - The Journal of Finance
JF - The Journal of Finance
IS - 3
ER -