An exploration of the relationship between size and risk in a downside risk framework applied to Malaysian property shares
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...
| Egile Nagusiak: | , , |
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| Formatua: | Conference or Workshop Item |
| Hizkuntza: | English |
| Argitaratua: |
2006
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| Gaiak: | |
| Sarrera elektronikoa: | http://eprints.utm.my/1298/1/Lee_Relationship_Size_Risk_Malaysian_Property_Shares%5B1%5D.pdf |
| _version_ | 1825909044852817920 |
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| author | Lee, Chyi Lin Robinson, Jon Reed, Richard G. |
| author_facet | Lee, Chyi Lin Robinson, Jon Reed, Richard G. |
| author_sort | Lee, Chyi Lin |
| collection | ePrints |
| description | 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. |
| first_indexed | 2024-03-05T17:56:17Z |
| format | Conference or Workshop Item |
| id | utm.eprints-1298 |
| institution | Universiti Teknologi Malaysia - ePrints |
| language | English |
| last_indexed | 2024-03-05T17:56:17Z |
| publishDate | 2006 |
| record_format | dspace |
| spelling | utm.eprints-12982017-09-30T04:25:31Z http://eprints.utm.my/1298/ An exploration of the relationship between size and risk in a downside risk framework applied to Malaysian property shares Lee, Chyi Lin Robinson, Jon Reed, Richard G. H Social Sciences (General) 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. 2006 Conference or Workshop Item NonPeerReviewed application/pdf en http://eprints.utm.my/1298/1/Lee_Relationship_Size_Risk_Malaysian_Property_Shares%5B1%5D.pdf Lee, Chyi Lin and Robinson, Jon and Reed, Richard G. (2006) An exploration of the relationship between size and risk in a downside risk framework applied to Malaysian property shares. In: Pacific Rim Real Estate Society (PRRES) Conference, 22-25 January 2006, AUCKLAND NEW ZEALAND. (Unpublished) https://www.researchgate.net/publication/237116858_An_Exploration_of_the_Relationship_between_Size_and_Risk_in_a_Downside_Risk_Framework_Applied_to_Malaysian_Property_Shares |
| spellingShingle | H Social Sciences (General) Lee, Chyi Lin Robinson, Jon Reed, Richard G. An exploration of the relationship between size and risk in a downside risk framework applied to Malaysian property shares |
| title | An exploration of the relationship between size and risk in a downside risk framework applied to Malaysian property shares |
| title_full | An exploration of the relationship between size and risk in a downside risk framework applied to Malaysian property shares |
| title_fullStr | An exploration of the relationship between size and risk in a downside risk framework applied to Malaysian property shares |
| title_full_unstemmed | An exploration of the relationship between size and risk in a downside risk framework applied to Malaysian property shares |
| title_short | An exploration of the relationship between size and risk in a downside risk framework applied to Malaysian property shares |
| title_sort | exploration of the relationship between size and risk in a downside risk framework applied to malaysian property shares |
| topic | H Social Sciences (General) |
| url | http://eprints.utm.my/1298/1/Lee_Relationship_Size_Risk_Malaysian_Property_Shares%5B1%5D.pdf |
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