Asset Pricing, Higher Moments, and the Market Risk Premium: A Note
No abstract is available for this item.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 40 (1985)
Issue (Month): 4 (September)
|Contact details of provider:|| Web page: http://www.afajof.org/|
More information through EDIRC
|Order Information:||Web: http://www.afajof.org/membership/join.asp|
- Eric Jondeau & Michael Rockinger, 2006.
"Optimal Portfolio Allocation under Higher Moments,"
European Financial Management,
European Financial Management Association, vol. 12(1), pages 29-55.
- Jondeau, E. & Rockinger, M., 2004. "Optimal Portfolio Allocation Under Higher Moments," Working papers 108, Banque de France.
- Jondeau, E. & Rockinger, M., 2000. "Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence," Working papers 77, Banque de France.
- Michael Rockinger & Eric Jondeau, 2000. "Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence," Working Papers hal-00601486, HAL.
- ROCKINGER, Michael & JONDEAU, Eric, 2000. "Conditional Volatility, Skewness, and Kurtosis : Existence and Persistence," Les Cahiers de Recherche 710, HEC Paris.
- Attiya Y. Javid & Eatzaz Ahmad, 2008. "Test of Multi-moment Capital Asset Pricing Model: Evidence from Karachi Stock Exchange," PIDE-Working Papers 2008:49, Pakistan Institute of Development Economics.
- Pedersen, Christian S., 2000. "Separating risk and return in the CAPM: A general utility-based model," European Journal of Operational Research, Elsevier, vol. 123(3), pages 628-639, June.
- Lehnert, Thorsten & Lin, Yuehao & Wolff, Christian C, 2013. "Skewness Risk Premium: Theory and Empirical Evidence," CEPR Discussion Papers 9349, C.E.P.R. Discussion Papers.
- Christian Wolff & Thorsten Lehnert & Yuehao Lin, 2014. "Skewness Risk Premium: Theory and Empirical Evidence," LSF Research Working Paper Series 14-05, Luxembourg School of Finance, University of Luxembourg.
- Jondeau, Eric & Rockinger, Michael, 2003. "Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1699-1737, August.
- Tamara Teplova & Evgeniya Shutova, 2011. "A Higher Moment Downside Framework for Conditional and Unconditional Capm in the Russian Stock Market," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 1(2), pages 157-178, December.
- repec:eee:ecosys:v:41:y:2017:i:1:p:151-162 is not listed on IDEAS
- Guedhami, Omrane & Sy, Oumar, 2005. "Does conditional market skewness resolve the puzzling market risk-return relationship?," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 582-598, September.
- Lee, Ahyee & Moy, Ronald L. & Lee, Cheng F., 1996. "A multivariate test of the covariance-co-skewness restriction for the three moment CAPM," Journal of Economics and Business, Elsevier, vol. 48(5), pages 515-523, December.
- Maheu, John M. & McCurdy, Thomas H. & Zhao, Xiaofei, 2013. "Do jumps contribute to the dynamics of the equity premium?," Journal of Financial Economics, Elsevier, vol. 110(2), pages 457-477.
- John M. Maheu & Thomas H. McCurdy & Xiaofei Zhao, 2012. "Do Jumps Contribute to the Dynamics of the Equity Premium?," Working Paper Series 47_12, The Rimini Centre for Economic Analysis.
- Bali, Turan G. & Cakici, Nusret & Whitelaw, Robert F., 2011. "Maxing out: Stocks as lotteries and the cross-section of expected returns," Journal of Financial Economics, Elsevier, vol. 99(2), pages 427-446, February.
- Schneider, Paul & Wagner, Christian & Zechner, Josef, 2016. "Low risk anomalies?," CFS Working Paper Series 550, Center for Financial Studies (CFS).
- Chang, Bo Young & Christoffersen, Peter & Jacobs, Kris, 2013. "Market skewness risk and the cross section of stock returns," Journal of Financial Economics, Elsevier, vol. 107(1), pages 46-68.
- Chang, Bo Young & Christoffersen, Peter & Jacobs, Kris, 2010. "Market Skewness Risk and the Cross-Section of Stock Returns," Working Papers 11-18, University of Pennsylvania, Wharton School, Weiss Center.
- 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.
- Francois-Éric Racicot & Raymond Théoret & Alain Coen, 2006. "Towards New Empirical Versions of Financial and Accounting Models Corrected for Measurement Errors," RePAd Working Paper Series UQO-DSA-wp132006, Département des sciences administratives, UQO.
When requesting a correction, please mention this item's handle: RePEc:bla:jfinan:v:40:y:1985:i:4:p:1251-53. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.
Follow series, journals, authors & more
New papers by email
Subscribe to new additions to RePEc
Public profiles for Economics researchers
Various rankings of research in Economics & related fields
Who was a student of whom, using RePEc
Curated articles & papers on various economics topics
Upload your paper to be listed on RePEc and IDEAS
Blog aggregator for economics research
Cases of plagiarism in Economics
Job Market Papers
RePEc working paper series dedicated to the job market
Pretend you are at the helm of an economics department
Services from the StL Fed
Data, research, apps & more from the St. Louis Fed