Abstract Mean‐Variance (M‐V) analysis and the CAPM are derived in the expected utility
framework. Behavioural Economists and Psychologists (BE&P) advocate that expected utility …

This article reviews some of the most important concepts and distributional models that are
used in empirical finance to capture the (almost) ubiquitous stochastic properties of returns …

In this paper the symmetry of daily returns is addressed in eight international stock markets
and three spot exchange rates. Tests of symmetry with the sample skewness seem of little …

The Capital Asset Pricing Model (CAPM) and the mean-variance (MV) rule, which are based
on classic expected utility theory, have been heavily criticized theoretically and empirically …

The assumption that daily stock returns are normally distributed has long been disputed by
the data. In this article the normality assumption is tested (and clearly rejected) using time …

Although financial theory rests heavily on the normality assumption, daily stock returns
display significant departures from normality. Different researchers have proposed …

We modify the GARCH-MIDAS model by introducing a skewed T-distribution and employ it
to study the impact of economic policy uncertainties on the volatility of China's financial …

Green bonds attract increasing attention as a new eco-friendly investment product. We
explore the heterogeneous impact of low-frequency economic and political uncertainty …

The paper deals with the analysis of the empirical distribution of returns of selected market
indices of developed and developing markets in relation to applications in the field of …

There is now substantial evidence that daily equity returns are not normally distributed but
instead display significant leptokurtosis and, in many cases, skewness. Considerable effort …