The stylized facts found in the previous paper quot;Some Properties of Absolute Return, An Alternative Measure of Riskquot; by the same authors using daily Samp;P index data are explored using further data, stock indices from the Tokyo and Paris exchanges, a single stock from New York, four...

Let a(theta) represent the absolute value of the daily return (after subtraction of mean return) raised to the power theta, so that a(two) is just the return squared. Duncan Luce (Theory and Decision, 1980) using an axiomatic approach suggested that a(theta) was a suitable class of measures of...

The expected absolute return belongs to a class of risk measure derived by Luce (1980) from axioms. The paper considers the time series properties of and also the marginal distribution properties, for various properties of ?. Using a long daily stock index series it is found that the...