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Higher moments and beta asymmetry: evidence from Australia
type="main" xml:id="acfi12022-abs-0001" xml:lang="en"> We examine whether systematic higher moments capture beta asymmetry in an asset pricing model whereby the conditional beta of a risky assetExpand
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  • Open Access
On the robustness of higher-moment factors in explaining average expected returns: evidence from Australia
This study tests the importance of systematic skewness and systematic kurtosis of Australian stock returns in the spirit of the higher-moment asset pricing model. We apply the Dagenais and DagenaisExpand
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  • Open Access
Distributed defense of distributed DoS using pushback and communicate mechanism
This paper gives a DDoS defense method which is based on "pushback and communicate" idea (PaC method). Expand
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  • Open Access
The roles of systematic skewness and systematic kurtosis in asset pricing
The role of higher moments of a return distribution has become increasingly important in the literature mainly because traditional measures of risk based on the mean-variance framework have failed toExpand
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  • Open Access
Concurrent momentum and contrarian strategies in the Australian stock market
We investigate the coexistence of momentum and contrarian strategies in the Australian equity market from 1992 to 2011. We show that contrarian strategies prevail in the short-term investment horizonExpand
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  • Open Access
The Risk–Return–Sentiment Nexus: Dealing with Low Power and Big Bias
When regressing return on variance, does a low coefficient necessarily indicate low risk-aversion? Considering CAPM tests conditional on investor sentiment, like in Yu and Yuan [2011], we find thatExpand
Higher-Moment Model with Errors-in-Variables: An Examination with Cross Section of Expected Returns
This paper proposes measures of systematic skewness and systematic kurtosis as symmetric measures of risk by extending the work of Kraus and Litzenberg (1976). We examine an asset pricing model thatExpand
Dataverse for Stock Market Visualisation: Visualization Challenge Entry
Dataverse is a real-time 3D visualisation framework. The framework was developed to generate real‐time 3D audio visual environments from arbitrary sets of statistical data for the purpose of dataExpand