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Are Downside Higher Order Co-Moments Priced? : Evidence From The French Market

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  • Houda Hafsa
  • Dorra Hmaied

Abstract

This study examines the role of downside higher order co-moments in asset pricing models when stock returns are not normal. We test the effect of higher order downside co-moments using a data set of daily returns of Société des Bourses Françaises 250 Index stocks during the period 1987-2009. The results suggest that the downside Beta and higher order co-moments in the downside framework should be considered together when returns are non normal and that they out-perform the traditional beta.

Suggested Citation

  • Houda Hafsa & Dorra Hmaied, 2012. "Are Downside Higher Order Co-Moments Priced? : Evidence From The French Market," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 6(1), pages 65-81.
    • Handle: RePEc:ibf:ijbfre:v:6:y:2012:i:1:p:65-81
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    More about this item

    Keywords

    downside Beta; downside higher order co-moments; CAPM; French stock market.;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models

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