Wavelet timescales and conditional relationship between higher-order systematic co-moments and portfolio returns
Author
Abstract
Suggested Citation
DOI: 10.1080/14697680600989576
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Christie-David, Rohan & Chaudhry, Mukesh, 2001. "Coskewness and cokurtosis in futures markets," Journal of Empirical Finance, Elsevier, vol. 8(1), pages 55-81, March.
- Hwang, Soosung & Satchell, Stephen E, 1999.
"Modelling Emerging Market Risk Premia Using Higher Moments,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 4(4), pages 271-296, October.
- Hwang, S. & Satchell, S. E., 1998. "Modelling Emerging Market Risk Premia using Higher Moments," Cambridge Working Papers in Economics 9806, Faculty of Economics, University of Cambridge.
- Handa, Puneet & Kothari, S. P. & Wasley, Charles, 1989. "The relation between the return interval and betas : Implications for the size effect," Journal of Financial Economics, Elsevier, vol. 23(1), pages 79-100, June.
- Fang, Hsing & Lai, Tsong-Yue, 1997. "Co-Kurtosis and Capital Asset Pricing," The Financial Review, Eastern Finance Association, vol. 32(2), pages 293-307, May.
- Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-636, May-June.
- Kraus, Alan & Litzenberger, Robert H, 1976. "Skewness Preference and the Valuation of Risk Assets," Journal of Finance, American Finance Association, vol. 31(4), pages 1085-1100, September.
- Friend, Irwin & Westerfield, Randolph, 1980. "Co-Skewness and Capital Asset Pricing," Journal of Finance, American Finance Association, vol. 35(4), pages 897-913, September.
- Fred D. Arditti, 1967. "Risk And The Required Return On Equity," Journal of Finance, American Finance Association, vol. 22(1), pages 19-36, March.
- Brailsford, Timothy J. & Faff, Robert W., 1997. "Testing the conditional CAPM and the effect of intervaling: A note," Pacific-Basin Finance Journal, Elsevier, vol. 5(5), pages 527-537, December.
- Pettengill, Glenn N. & Sundaram, Sridhar & Mathur, Ike, 1995. "The Conditional Relation between Beta and Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(1), pages 101-116, March.
- William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
- Black, Fischer, 1972. "Capital Market Equilibrium with Restricted Borrowing," The Journal of Business, University of Chicago Press, vol. 45(3), pages 444-455, July.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Faria, Gonçalo & Verona, Fabio, 2018.
"Forecasting stock market returns by summing the frequency-decomposed parts,"
Journal of Empirical Finance, Elsevier, vol. 45(C), pages 228-242.
- Gonçalo Faria & Fabio Verona, 2016. "Forecasting stock market returns by summing the frequency-decomposed parts," Working Papers de Economia (Economics Working Papers) 05, Católica Porto Business School, Universidade Católica Portuguesa.
- Faria, Gonçalo & Verona, Fabio, 2016. "Forecasting stock market returns by summing the frequency-decomposed parts," Research Discussion Papers 29/2016, Bank of Finland.
- Gonçalo Faria & Fabio Verona, 2017. "Forecasting stock market returns by summing the frequency-decomposed parts," CEF.UP Working Papers 1702, Universidade do Porto, Faculdade de Economia do Porto.
- Faria, Gonçalo & Verona, Fabio, 2020. "The yield curve and the stock market: Mind the long run," Journal of Financial Markets, Elsevier, vol. 50(C).
- Don Galagedera & Elizabeth Maharaj & Robert Brooks, 2008. "Relationship between downside risk and return: new evidence through a multiscaling approach," Applied Financial Economics, Taylor & Francis Journals, vol. 18(20), pages 1623-1633.
- Faria, Gonçalo & Verona, Fabio, 2018. "The equity risk premium and the low frequency of the term spread," Research Discussion Papers 7/2018, Bank of Finland.
- Gonçalo Faria & Fabio Verona, 2021.
"Time-frequency forecast of the equity premium,"
Quantitative Finance, Taylor & Francis Journals, vol. 21(12), pages 2119-2135, December.
- Faria, Gonçalo & Verona, Fabio, 2020. "Time-frequency forecast of the equity premium," Research Discussion Papers 6/2020, Bank of Finland.
- repec:zbw:bofrdp:2020_006 is not listed on IDEAS
- repec:zbw:bofrdp:2017_001 is not listed on IDEAS
- repec:zbw:bofrdp:2016_029 is not listed on IDEAS
- Rababa’a, Abdel Razzaq Al & Alomari, Mohammad & Rehman, Mobeen Ur & McMillan, David & Hendawi, Raed, 2022. "Multiscale relationship between economic policy uncertainty and sectoral returns: Implications for portfolio management," Research in International Business and Finance, Elsevier, vol. 61(C).
- Faria, Gonçalo & Verona, Fabio, 2018.
"Forecasting stock market returns by summing the frequency-decomposed parts,"
Journal of Empirical Finance, Elsevier, vol. 45(C), pages 228-242.
- Gonçalo Faria & Fabio Verona, 2016. "Forecasting stock market returns by summing the frequency-decomposed parts," Working Papers de Economia (Economics Working Papers) 05, Católica Porto Business School, Universidade Católica Portuguesa.
- Faria, Gonçalo & Verona, Fabio, 2016. "Forecasting stock market returns by summing the frequency-decomposed parts," Bank of Finland Research Discussion Papers 29/2016, Bank of Finland.
- Gonçalo Faria & Fabio Verona, 2017. "Forecasting stock market returns by summing the frequency-decomposed parts," CEF.UP Working Papers 1702, Universidade do Porto, Faculdade de Economia do Porto.
- Gonçalo Faria & Fabio Verona, 2016.
"Forecasting the equity risk premium with frequency-decomposed predictors,"
Working Papers de Economia (Economics Working Papers)
06, Católica Porto Business School, Universidade Católica Portuguesa.
- Faria, Gonçalo & Verona, Fabio, 2017. "Forecasting the equity risk premium with frequency-decomposed predictors," Bank of Finland Research Discussion Papers 1/2017, Bank of Finland.
- Richard Mawulawoe Ahadzie & Nagaratnam Jeyasreedharan, 2024. "Higher‐order moments and asset pricing in the Australian stock market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 64(1), pages 75-128, March.
- Mohammad Alomari & Abdel Razzaq Al rababa’a & Ghaith El-Nader & Ahmad Alkhataybeh, 2021. "Who’s behind the wheel? The role of social and media news in driving the stock–bond correlation," Review of Quantitative Finance and Accounting, Springer, vol. 57(3), pages 959-1007, October.
- Gonçalo Faria & Fabio Verona, 2016.
"Forecasting the equity risk premium with frequency-decomposed predictors,"
Working Papers de Economia (Economics Working Papers)
06, Católica Porto Business School, Universidade Católica Portuguesa.
- Faria, Gonçalo & Verona, Fabio, 2017. "Forecasting the equity risk premium with frequency-decomposed predictors," Research Discussion Papers 1/2017, Bank of Finland.
- Juliana Malagon & David Moreno & Rosa Rodr�guez, 2015. "Time horizon trading and the idiosyncratic risk puzzle," Quantitative Finance, Taylor & Francis Journals, vol. 15(2), pages 327-343, February.
- Gonçalo Faria & Fabio Verona, 2021.
"Time-frequency forecast of the equity premium,"
Quantitative Finance, Taylor & Francis Journals, vol. 21(12), pages 2119-2135, December.
- Faria, Gonçalo & Verona, Fabio, 2020. "Time-frequency forecast of the equity premium," Bank of Finland Research Discussion Papers 6/2020, Bank of Finland.
- repec:zbw:bofrdp:2018_007 is not listed on IDEAS
- Emmanuel Jurczenko & Bertrand Maillet & Paul Merlin, 2008. "Efficient Frontier for Robust Higher-order Moment Portfolio Selection," Post-Print halshs-00336475, HAL.
- Högholm, Kenneth & Knif, Johan & Koutmos, Gregory & Pynnönen, Seppo, 2011. "Distributional asymmetry of loadings on market co-moments," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(5), pages 851-866.
- Al Rababa’a, Abdel Razzaq & Alomari, Mohammad & McMillan, David, 2021. "Multiscale stock-bond correlation: Implications for risk management," Research in International Business and Finance, Elsevier, vol. 58(C).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Don U.A. Galagedera & Elizabeth A. Maharaj, 2004.
"Wavelet timescales and conditional relationship between higher- order systematic co-moments and portfolio returns: evidence in Australian data,"
Finance
0409056, University Library of Munich, Germany.
- Don U.A. Galagedera & Elizabeth A. Maharaj, 2004. "Wavelet timescales and conditional relationship between higher-order systematic co-moments and portfolio returns: evidence in Australian data," Monash Econometrics and Business Statistics Working Papers 16/04, Monash University, Department of Econometrics and Business Statistics.
- Akbar, Muhammad & Nguyen, Thuy Thu, 2016. "The explanatory power of higher moment capital asset pricing model in the Karachi stock exchange," Research in International Business and Finance, Elsevier, vol. 36(C), pages 241-253.
- Don U.A. Galagedera, 2004. "A survey on risk-return analysis," Finance 0406010, University Library of Munich, Germany.
- Vendrame, Vasco & Tucker, Jon & Guermat, Cherif, 2016. "Some extensions of the CAPM for individual assets," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 78-85.
- Lambert, M. & Hübner, G., 2013.
"Comoment risk and stock returns,"
Journal of Empirical Finance, Elsevier, vol. 23(C), pages 191-205.
- Marie Lambert & George Hübner, 2010. "Comoment Risk and Stock Returns," LSF Research Working Paper Series 10-02, Luxembourg School of Finance, University of Luxembourg.
- Vendrame, Vasco & Guermat, Cherif & Tucker, Jon, 2023. "A conditional higher-moment CAPM," International Review of Financial Analysis, Elsevier, vol. 86(C).
- Chenglu Jin & Thomas Conlon & John Cotter, 2023.
"Co-Skewness across Return Horizons,"
Journal of Financial Econometrics, Oxford University Press, vol. 21(5), pages 1483-1518.
- Thomas Conlon & John Cotter & Chenglu Jin, 2019. "Co-skewness across Return Horizons," Working Papers 201910, Geary Institute, University College Dublin.
- Chenglu Jin & Thomas Conlon & John Cotter, 2022. "Co-skewness across Return Horizons," Working Papers 202210, Geary Institute, University College Dublin.
- 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.
- 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.
- 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.
- I-Hsuan Ethan Chiang, 2016. "Skewness And Coskewness In Bond Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 39(2), pages 145-178, June.
- 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.
- Petros Messis & Achilleas Zapranis, 2014. "Herding behaviour and volatility in the Athens Stock Exchange," Journal of Risk Finance, Emerald Group Publishing, vol. 15(5), pages 572-590, November.
- Doan, Phuong & Lin, Chien-Ting & Zurbruegg, Ralf, 2010. "Pricing assets with higher moments: Evidence from the Australian and us stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(1), pages 51-67, February.
- Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, April.
- Malevergne, Y. & Sornette, D., 2007.
"Self-consistent asset pricing models,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 149-171.
- Y. Malevergne & D. Sornette, 2006. "Self-Consistent Asset Pricing Models," Papers physics/0608284, arXiv.org.
- Yannick Malevergne & Didier Sornette, 2007. "Self-consistent asset pricing models," Post-Print hal-02311789, HAL.
- Christie-David, Rohan & Chaudhry, Mukesh, 2001. "Coskewness and cokurtosis in futures markets," Journal of Empirical Finance, Elsevier, vol. 8(1), pages 55-81, March.
- Högholm, Kenneth & Knif, Johan & Koutmos, Gregory & Pynnönen, Seppo, 2011. "Distributional asymmetry of loadings on market co-moments," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(5), pages 851-866.
- Xuan Vinh Vo & Thi Tuan Anh Tran, 2021. "Higher-order comoments and asset returns: evidence from emerging equity markets," Annals of Operations Research, Springer, vol. 297(1), pages 323-340, February.
- Chabi-Yo, Fousseni & Ruenzi, Stefan & Weigert, Florian, 2018.
"Crash Sensitivity and the Cross Section of Expected Stock Returns,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(3), pages 1059-1100, June.
- Chabi-Yo, Fousseni & Ruenzi, Stefan & Weigert, Florian, 2013. "Crash Sensitivity and the Cross-Section of Expected Stock Returns," Working Papers on Finance 1324, University of St. Gallen, School of Finance, revised Feb 2016.
More about this item
Keywords
Wavelet multi-scaling; Higher-order systematic co-moments; Asset pricing; Conditional pricing models;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:quantf:v:8:y:2008:i:2:p:201-215. See general information about how to correct material in RePEc.
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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RQUF20 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.