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An exploration of the relationship between size and risk in a downside risk framework applied to Malaysian property shares

Lee, Chyi Lin, Robinson, Jon and Reed, Richard 2006, An exploration of the relationship between size and risk in a downside risk framework applied to Malaysian property shares, in PRRES 2006 : Proceedings of the 12th Annual Conference of the Pacific Rim Real Estate Society, Pacific Rim Real Estate Society, [Auckland, New Zealand], pp. 1-15.

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Title An exploration of the relationship between size and risk in a downside risk framework applied to Malaysian property shares
Author(s) Lee, Chyi Lin
Robinson, Jon
Reed, Richard
Conference name Pacific Rim Real Estate Society. Conference (12th : 2006 : Auckland, New Zealand)
Conference location Auckland, New Zealand
Conference dates 22-25 January 2006
Title of proceedings PRRES 2006 : Proceedings of the 12th Annual Conference of the Pacific Rim Real Estate Society
Editor(s) [Unknown]
Publication date 2006
Conference series Pacific Rim Real Estate Society Conference
Start page 1
End page 15
Publisher Pacific Rim Real Estate Society
Place of publication [Auckland, New Zealand]
Summary The relationship between size and risk (systematic and unsystematic risk) has received considerable attention in recent literature. However, these studies employ variance as the risk measure, which the appropriateness for using this risk measure is always questioned by researchers and practitioners due to its underlying strict assumptions. Therefore, there is crucial to adopt an alternative risk measure for ascertaining the relationships. The aim of the study is to examine the relationships between size and systematic downside risk and unsystematic downside risk in line with the theoretical sound of this risk measure. The empirical evidences reveal that the size is strongly correlated with unsystematic downside risk. While, there is a weak inverse relationship between size and systematic downside risk.
Language eng
Field of Research 150205 Investment and Risk Management
Socio Economic Objective 970115 Expanding Knowledge in Commerce, Management, Tourism and Services
HERDC Research category E1.1 Full written paper - refereed
Copyright notice ©2006, PRRES
Persistent URL http://hdl.handle.net/10536/DRO/DU:30022277

Document type: Conference Paper
Collections: School of Management and Marketing
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