Which measure of systematic risk should we use? An empirical study on systematical risk and Treynor measure using the economic index of riskiness and operational measure of riskiness

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Lu, Richard, Cheung, Adrian (Wai Kong), Hoang, Vu T and Islam, Sardar M. N ORCID: 0000-0001-9451-7390 (2020) Which measure of systematic risk should we use? An empirical study on systematical risk and Treynor measure using the economic index of riskiness and operational measure of riskiness. International Journal of Finance and Economics. ISSN 1076-9307

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Item type Article
URI https://vuir.vu.edu.au/id/eprint/41907
DOI https://doi.org/10.1002/ijfe.1875
Official URL https://onlinelibrary.wiley.com/doi/abs/10.1002/ij...
Subjects Historical > FOR Classification > 1502 Banking, Finance and Investment
Current > Division/Research > Institute for Sustainable Industries and Liveable Cities
Keywords mean–variance capital asset pricing model; MV-CAPM; FH-CAPM; Dow Jones Industrial Average; DJIA; Treynor measures
Citations in Scopus 0 - View on Scopus
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