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• Arun J. Prakash

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Article provided by Lille Graduate School of Management in its journal Frontiers in Finance and Economics.

Volume (Year): 2 (2005)
Issue (Month): 2 (December)
Pages: 67-78
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Handle: RePEc:ffe:journl:v:2:y:2005:i:2:p:67-78

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Related research

Keywords: Skewness; event studies; three-moment CAPM;

Find related papers by JEL classification:
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

1. Blume, Marshall E & Friend, Irwin, 1973. "A New Look at the Capital Asset Pricing Model," Journal of Finance, American Finance Association, vol. 28(1), pages 19-33, March. [Downloadable!] (restricted)
2. Campbell R. Harvey & Akhtar Siddique, 2000. "Conditional Skewness in Asset Pricing Tests," Journal of Finance, American Finance Association, vol. 55(3), pages 1263-1295, 06. [Downloadable!] (restricted)
3. Barone-Adesi, Giovanni, 1985. "Arbitrage Equilibrium with Skewed Asset Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(03), pages 299-313, September. [Downloadable!]
4. Ravi Jagannathan & Zhenyu Wang, 1996. "The conditional CAPM and the cross-section of expected returns," Staff Report 208, Federal Reserve Bank of Minneapolis. [Downloadable!]
   Other versions:
   • Jagannathan, Ravi & Wang, Zhenyu, 1996. " The Conditional CAPM and the Cross-Section of Expected Returns," Journal of Finance, American Finance Association, vol. 51(1), pages 3-53, March. [Downloadable!] (restricted)
5. Fisher, Lawrence & Lorie, James H, 1970. "Some Studies of Variability of Returns on Investments in Common Stocks," Journal of Business, University of Chicago Press, vol. 43(2), pages 99-134, April. [Downloadable!] (restricted)
6. Blume, Marshall E & Friend, Irwin, 1975. "The Asset Structure of Individual Portfolios and Some Implications for Utility Functions," Journal of Finance, American Finance Association, vol. 30(2), pages 585-603, May. [Downloadable!] (restricted)

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This page was last updated on 2009-11-13.