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Four-moment CAPM Model: Evidence from the Indian Stock Market

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  • Dheeraj Misra
  • Sushma Vishnani
  • Ankit Mehrotra

Abstract

This study aims at analysing the impact of co-skewness and co-kurtosis on the returns of the Indian stocks by incorporating co-skewness and co-kurtosis in the traditional capital asset pricing model (CAPM) of Sharpe, in a three-factor model of Fama and French and in a four-factor model of Carhart. The results of the study show that co-skewness and co-kurtosis have significant impact on the returns of the Indian stock. However, the impact of co-skewness is higher than co-kurtosis. JEL Classification: G11, G12

Suggested Citation

  • Dheeraj Misra & Sushma Vishnani & Ankit Mehrotra, 2019. "Four-moment CAPM Model: Evidence from the Indian Stock Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(1_suppl), pages 137-166, April.
    • Handle: RePEc:sae:emffin:v:18:y:2019:i:1_suppl:p:s137-s166
    DOI: 10.1177/0972652719831564
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    More about this item

    Keywords

    Four-moment; co-skewness; co-kurtosis; momentum; SMB; HML;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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