Title

Is It Time to Reconsider the Semivariance Again? A Note

Department

Economics, Finance, & Quantitative Analysis

Document Type

Article

Publication Date

1-2000

Abstract

Building on the assumption that stock returns are less-than-symmetric, the semivariances (SV) are computed for 14 domestic and foreign stock indices as well as their respective arithmetic means (AM) and standard deviations (SD) and hypotheses that the correlation between SVs and AMs will be both positive and greater than the correlation between SDs and AMs.

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