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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PRRES 2006 : Proceedings of the 12th Annual Conference of the Pacific Rim Real Estate Society
Pacific Rim Real Estate Society Conference
Pacific Rim Real Estate Society
Place of publication
[Auckland, New Zealand]
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.
Field of Research
150205 Investment and Risk Management
Socio Economic Objective
970115 Expanding Knowledge in Commerce, Management, Tourism and Services
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