IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Modelling Emerging Market Risk Premia Using Higher Moments

  • Stephen Satchell
  • Soosung Hwang

The purpose of this paper is to build an asset pricing model for emerging markets using higher moments. It is well-known that conventional CAPM models fail to explain the risk present in the data. The contribution of this paper is to use an extended CAPM that explicitly involves measures of skewness and kurtosis to capture the risk premium. The four- moment CAPM may be appropriate when the third and fourth moments are substantial. For estimating and testing the higher-moment CAPMs in emerging markets, the authors us a generalised method of moments which is distribution free and thus the preferred method to use because of the difficulty of accurately modelling return distribution in emerging markets. However, the paper also presents higher-moment models as the data generating process of the individual emerging markets. They are considered with higher-moment CAPMs, while reducing the multi-collinearity in the risk measures.

(This abstract was borrowed from another version of 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.

File URL: http://www2.warwick.ac.uk/fac/soc/wbs/research/wfri/rsrchcentres/ferc/wrkingpaprseries/fwp99-17.pdf
Download Restriction: no

Paper provided by Warwick Business School, Finance Group in its series Working Papers with number wp99-17.

as
in new window

Length:
Date of creation: 1999
Date of revision:
Handle: RePEc:wbs:wpaper:wp99-17
Contact details of provider: Postal: Coventry, CV4 7AL
Phone: +44 (0)24 76524118
Fax: +44 (0)24 76524167
Web page: http://web.warwick.ac.uk/fac/soc/financeRepec/
Email:


More information through EDIRC

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:wbs:wpaper:wp99-17. 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: (Rong Leng)

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.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.