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A multivariate test of the covariance-co-skewness restriction for the three moment CAPM

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  • Lee, Ahyee
  • Moy, Ronald L.
  • Lee, Cheng F.
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    File URL: http://www.sciencedirect.com/science/article/B6V7T-3VV68VC-7/2/92127b624586b67991b7d6cde5bf733c
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Economics and Business.

    Volume (Year): 48 (1996)
    Issue (Month): 5 (December)
    Pages: 515-523

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    Handle: RePEc:eee:jebusi:v:48:y:1996:i:5:p:515-523

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    Web page: http://www.elsevier.com/locate/jeconbus

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    1. Lim, Kian-Guan, 1989. "A New Test of the Three-Moment Capital Asset Pricing Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 205-216, June.
    2. Sears, R Stephen & Wei, K C John, 1988. "The Structure of Skewness Preferences in Asset Pricing Models with Higher Moments: An Empirical Test," The Financial Review, Eastern Finance Association, Eastern Finance Association, vol. 23(1), pages 25-38, February.
    3. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, Econometric Society, vol. 50(4), pages 1029-54, July.
    4. Kraus, Alan & Litzenberger, Robert H, 1976. "Skewness Preference and the Valuation of Risk Assets," Journal of Finance, American Finance Association, vol. 31(4), pages 1085-1100, September.
    5. Sears, R Stephen & Wei, K C John, 1985. " Asset Pricing, Higher Moments, and the Market Risk Premium: A Note," Journal of Finance, American Finance Association, vol. 40(4), pages 1251-53, September.
    6. Rubinstein, Mark E., 1973. "The Fundamental Theorem of Parameter-Preference Security Valuation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 8(01), pages 61-69, January.
    7. Gallant, A. Ronald & Jorgenson, Dale W., 1979. "Statistical inference for a system of simultaneous, non-linear, implicit equations in the context of instrumental variable estimation," Journal of Econometrics, Elsevier, vol. 11(2-3), pages 275-302.
    8. Fred D. Arditti, 1967. "Risk And The Required Return On Equity," Journal of Finance, American Finance Association, vol. 22(1), pages 19-36, 03.
    9. Gibbons, Michael R., 1982. "Multivariate tests of financial models : A new approach," Journal of Financial Economics, Elsevier, Elsevier, vol. 10(1), pages 3-27, March.
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    Cited by:
    1. Wang, Jinan & Chen, Langnan, 2012. "Liquidity-adjusted conditional capital asset pricing model," Economic Modelling, Elsevier, vol. 29(2), pages 361-368.
    2. Renee Fry & Vance L. Martin & Chrismin Tang, 2008. "A New Class Of Tests Of Contagion With Applications To Real Estate Markets," CAMA Working Papers 2008-01, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    3. Langnan Chen & Steven Li & Jinan Wang, 2011. "Liquidity, Skewness and Stock Returns: Evidence from Chinese Stock Market," Asia-Pacific Financial Markets, Springer, vol. 18(4), pages 405-427, November.
    4. Chiao, Chaoshin & Hung, Ken & Srivastava, Suresh C., 2003. "Taiwan stock market and four-moment asset pricing model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(4), pages 355-381, October.
    5. Bing-Huei Lin & Jerry Wang, 2003. "Systematic skewness in asset pricing: an empirical examination of the Taiwan stock market," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 35(17), pages 1877-1887.

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