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

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conference contribution
posted on 2006-01-01, 00:00 authored by C Lee, J Robinson, Richard Reed
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.

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Pagination

1 - 15

Location

Auckland, New Zealand

Open access

  • Yes

Start date

2006-01-22

End date

2006-01-25

Language

eng

Publication classification

E1.1 Full written paper - refereed

Copyright notice

2006, PRRES

Title of proceedings

PRRES 2006 : Proceedings of the 12th Annual Conference of the Pacific Rim Real Estate Society

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