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References

This document contains a list of 41 references from various journals, books, working papers, and other sources published between 1977 and 2008. The references relate to topics such as equity portfolio diversification, stock market seasonality, firm size, international diversification, small and large cap stocks, portfolio selection models, and statistical analysis techniques.

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49 views3 pages

References

This document contains a list of 41 references from various journals, books, working papers, and other sources published between 1977 and 2008. The references relate to topics such as equity portfolio diversification, stock market seasonality, firm size, international diversification, small and large cap stocks, portfolio selection models, and statistical analysis techniques.

Uploaded by

RazzARaza
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as DOCX, PDF, TXT or read online on Scribd
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References

Ang Basu (1977), ‘Asymmetric Correlations of Equity Portfolios’, Journal of Financial


Economics, 63, 443-494.

Avramov Sharp, and Linter, (1965), ‘Stock return predictability and model uncertainty’, Journal
of Financial Economics 64, 423. 458.

Barone-moss, G., Gagliardini Banz., and G. Roll (1981), ‘Testing Asset Pricing Anomalies with
Co-skewness coefficient’, Journal of Business and Economic Statistics, 22, 474-485.

Butler Christic., and D., Hertcel (1981), ‘Are the Gains from International Equity Portfolio
Diversification Exaggerated? The Influence of Downside Risk in Bear Markets’, Journal
of International Money and Finance, 21, 981-1011.

Camino Roll, Real Bulune, and Stanburg (1983), ‘Global small cap stocks: A life cycle
perspective’, The Brandes Institute research paper No. 1983-84.

Levis (1985), ‘Altering the Mix of Large Cap and Small Cap Stocks’, [online] Available from
www.cbot.com/cbot/pub/cont_detail/0,3206,1180+794,00.html, [Accessed 11th August,
2018].

Zhiwu Fama and Jindra French Jan (1992), ‘A valuation study of stock-market seasonality and
firm size’, Yale ICF Working Paper No. 00-37, Yale School of management.

Laskonishols, Schleifer and Vishney (1994), ‘Problems Arising in the Analysis of a Series of
Similar Experiments’, Supplement to the Journal of the Royal Statistical Society, 4(1), 102-
118.
Kenz, C.S., Ready, W. and Lai, S.C. (1997), ‘International diversification with large- and small-
cap stocks, Working paper, WFA, Vancouver, Canada.

Robest, Fama. and Sarkissian, S. (2000), ‘Cross-sectional variations in the degree of global
integration: the case of Russian equities’, Journal of International Financial Markets,
Institutions and Money 10, 131-150.

Daniel, G.M and Titman, G.A (1997), ‘The impact of inflation on stock prices’, South Africa,
University of Pretoria.

Lew, Massimo and Bassalou, Giovanna (2000), ‘Small Caps in International Equity Portfolios:
The Effects of Variance Risk’, Italy, University of Turin.

Fedrov, C. and A., Sarkissioan (2000), ‘Conditional Skewness coefficient in Asset Pricing Tests’,
Journal of Finance, 55, 1263-1295.

Javid, Ahmed (2008), ‘financial integration and the price of world covariance risk: Large vs. small-
cap stocks’, Honolulu, University of Hawai’i.

Khiliji, Fazal; Hussain, uppal (1998), ‘The stock market and the economy of Bangladesh’,
[online] Available from http://ideas.repec.org/p/pra/mprapa/4215.html, [Accessed 14th
August 2018].

Clarkson, Guedes A., and Dean W. Thompson (1996), ‘Applied Multivariate Statistical Analysis’,
3rd edition, Prentice-Hall, Inc, New Jersey.

Little, Ken (2008), ‘Small Cap Stocks can pop’, [online] Available from
http://stocks.about.com/od/advancedtrading/a/Smallcap030705.htm [Accessed 14th
August 2018].
Longin, F. and B., Solnik (2001), ‘Correlation Structure of International Equity Markets During
Extremely Volatile Periods’, Journal of Finance, 56, 649-676.

Fong, L Vasicek. (2000), ‘Portfolio Selection and Asset Pricing Models’, Journal of Finance, 55,
179-224.

Peres-Burr’e G., and A., Giot, (2004), ‘Firm Size and Cyclical Variations in Stock Returns’,
Journal of Finance, 55, 1229-1262.

Reilly and Brown (2007), ‘Investment analysis and portfolio management’, Security market
indicator series, 7th edition, chapter 5, pp. 154-5.

Reilly and Brown (2007), ‘Investment analysis and portfolio management’, Evaluation of portfolio
performance, 7th edition, chapter 26, pp. 1109-1115.

Siegel, F. Andrew (2004), ‘Practical business statistics’, ANOVA, testing for the differences among
many samples, 5th edition, McGraw Hill Publications, Australia, pp.668-692 & pp.701-
703.

Siegel, F. Andrew (2004), ‘Practical business statistics’, Variability: dealing with diversity, 5th
edition, McGraw Hill Publications, Australia, pp. 64-70 &145-148.

Sharp (1964), ‘the international pricing of risk: an empirical investigation of the world capital
market structure’, Journal of Finance29, 365-378.

, B.Linter. (1965), ‘An empirical test of the alternative hypotheses of national and international
pricing of risky assets’, Journal of Finance 32, 493-502.

Lew, E. Bassalou (2000), ‘Introduction to Statistics’, Distribution of random variables, 3rd edition,
Macmillan Publishing Co. New York, chapter 5, pp. 133-145.

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