Pricing assets with higher moments: Evidence from the Australian and us stock markets
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
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- Hung, Chi-Hsiou D. & Azad, A.S.M. Sohel & Fang, Victor, 2014. "Determinants of stock returns: Factors or systematic co-moments? Crisis versus non-crisis periods," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 14-29.
More about this item
KeywordsAsset pricing Co-skewness Co-kurtosis Fama and French 3 factors Australian stock market;
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