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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 and 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: Pacific Rim Real Estate Society (PRRES) Conference, 22-25 January 2006, AUCKLAND NEW ZEALAND. (Unpublished)

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Abstract

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.

Item Type:Conference or Workshop Item (Paper)
Uncontrolled Keywords:systematic downside risk, unsystematic downside risk, size, property shares
Subjects:H Social Sciences > H Social Sciences (General)
Divisions:Geoinformation Science And Engineering (Formerly known)
ID Code:1298
Deposited By: Dr Suriatini Ismail
Deposited On:01 Mar 2007 07:52
Last Modified:08 Jun 2012 03:48

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