Time: Saturday, 7 July, 2:15pm - 3:45pm
Chair: A. D. Hall
Papers to be presented:
Hodoshima, Jiro (Nagoya City University): The Effects of Nonnormality on the Market Model in the Class of Elliptical Distributions
Hughes, Anthony (University of Adelaide): A Quantile Regression Analysis of the Cross Section of Stock Market Returns
Jeong, Kiho (Kyungpook National University): Decomposition of Intangible Assets into a Permanent and a Transitory Component
Silvapulle, Param (Monash University): Capital Asset Pricing Model, Bear, Usual and Bull Market Conditions and Beta Instability: A Value-At-Risk Approach
Click the author's name to view the details of the paper.