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Citations for "Skewness Preference and the Valuation of Risk Assets"

by Kraus, Alan & Litzenberger, Robert H

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  1. Walter Briec & Kristiaan Kerstens & Octave Jokung, 2007. "Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach," Management Science, INFORMS, vol. 53(1), pages 135-149, January.
  2. Zakamouline, Valeri & Koekebakker, Steen, 2009. "Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and variance," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1242-1254, July.
  3. Anthonisz, Sean A., 2012. "Asset pricing with partial-moments," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2122-2135.
  4. Lee, Tae-Hwy & Long, Xiangdong, 2009. "Copula-based multivariate GARCH model with uncorrelated dependent errors," Journal of Econometrics, Elsevier, vol. 150(2), pages 207-218, June.
  5. Stephan Süss, 2012. "The pricing of idiosyncratic risk: evidence from the implied volatility distribution," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(2), pages 247-267, June.
  6. Wang, Jinan & Chen, Langnan, 2012. "Liquidity-adjusted conditional capital asset pricing model," Economic Modelling, Elsevier, vol. 29(2), pages 361-368.
  7. Pan, Jun, 2002. "The jump-risk premia implicit in options: evidence from an integrated time-series study," Journal of Financial Economics, Elsevier, vol. 63(1), pages 3-50, January.
  8. Clark, Ephraim & Jokung, Octave & Kassimatis, Konstantinos, 2011. "Making inefficient market indices efficient," European Journal of Operational Research, Elsevier, vol. 209(1), pages 83-93, February.
  9. Eric Jondeau & Michael Rockinger, 2006. "Optimal Portfolio Allocation under Higher Moments," European Financial Management, European Financial Management Association, vol. 12(1), pages 29-55.
  10. Francisco Ruge-Murcia, 2012. "Skewness Risk and Bond Prices," Cahiers de recherche 17-2012, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  11. Christie-David, Rohan & Chaudhry, Mukesh, 2001. "Coskewness and cokurtosis in futures markets," Journal of Empirical Finance, Elsevier, vol. 8(1), pages 55-81, March.
  12. Lesław Markowski, 2015. "Conditional Volatility Exposures in Asset Pricing in the Downside and Classical Framework," Research in Economics and Business: Central and Eastern Europe, Tallinn School of Economics and Business Administration, Tallinn University of Technology, vol. 7(1).
  13. Ricardo Pereira, 2007. "The Cost Of Equity Of Portuguese Public Firms: A Downside Risk Approach," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, vol. 0(1), pages 7-25.
  14. Jean-Pierre BERDOT, 2008. "Evaluation of the performance and of the integration of the euro zone stock market: which are the "right moments"?," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 1, pages 29-41, December.
  15. Carmichael, Benoıˆt & Coën, Alain, 2013. "Asset pricing with skewed-normal return," Finance Research Letters, Elsevier, vol. 10(2), pages 50-57.
  16. Jondeau, E. & Rockinger, M., 2000. "Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence," Working papers 77, Banque de France.
  17. Schwert, G William & Seguin, Paul J, 1990. " Heteroskedasticity in Stock Returns," Journal of Finance, American Finance Association, vol. 45(4), pages 1129-1155, September.
  18. Riccardo Colacito & Eric Ghysels & Jinghan Meng & Wasin Siwasarit, 2016. "Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory," Review of Financial Studies, Society for Financial Studies, vol. 29(8), pages 2069-2109.
  19. Post, Thierry & van Vliet, Pim, 2006. "Downside risk and asset pricing," Journal of Banking & Finance, Elsevier, vol. 30(3), pages 823-849, March.
  20. W. Henry Chiu, 2005. "Skewness Preference, Risk Aversion, and the Precedence Relations on Stochastic Changes," Management Science, INFORMS, vol. 51(12), pages 1816-1828, December.
  21. Sebastian Ebert & Daniel Wiesen, 2011. "Testing for Prudence and Skewness Seeking," Management Science, INFORMS, vol. 57(7), pages 1334-1349, July.
  22. Don U.A. Galagedera, 2004. "A survey on risk-return analysis," Finance 0406010, EconWPA.
  23. Renee Fry & Vance L. Martin & Chrismin Tang, 2008. "A New Class Of Tests Of Contagion With Applications To Real Estate Markets," CAMA Working Papers 2008-01, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  24. Soosung Hwang & Stephen Satchell, 2002. "Calculating the misspecification in beta from using a proxy for the market portfolio," Applied Financial Economics, Taylor & Francis Journals, vol. 12(11), pages 771-781.
  25. Dilip Madan, 2006. "Equilibrium asset pricing: with non-Gaussian factors and exponential utilities," Quantitative Finance, Taylor & Francis Journals, vol. 6(6), pages 455-463.
  26. Patrick Roger & Marie-Hélène Broihanne & Maxime Merli, 2012. "In search of positive skewness: the case of individual investors," Working Papers of LaRGE Research Center 2012-04, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
  27. Panagiotis Samartzis & Nikitas Pittis & Nikolaos Kourogenis & Phoebe Koundouri, "undated". "Factor Models of Stock Returns: GARCH Errors versus Autoregressive Betas," DEOS Working Papers 1318, Athens University of Economics and Business.
  28. C. James Hueng & Ruey Yau, 2006. "Investor preferences and portfolio selection: is diversification an appropriate strategy?," Quantitative Finance, Taylor & Francis Journals, vol. 6(3), pages 255-271.
  29. 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.
  30. Fousseni Chabi-Yo, 2012. "Pricing Kernels with Stochastic Skewness and Volatility Risk," Management Science, INFORMS, vol. 58(3), pages 624-640, March.
  31. Sadefo Kamdem, Jules & Tassak Deffo, Christian & Fono, Louis Aimé, 2012. "Moments and semi-moments for fuzzy portfolio selection," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 517-530.
  32. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis, 2015. "Factor Models as 'Explanatory Unifiers' versus 'Explanatory Ideals' of Empirical Regularities of Stock Returns," DEOS Working Papers 1507, Athens University of Economics and Business.
  33. Almeida, Caio & Garcia, René, 2012. "Assessing misspecified asset pricing models with empirical likelihood estimators," Journal of Econometrics, Elsevier, vol. 170(2), pages 519-537.
  34. repec:dau:papers:123456789/2256 is not listed on IDEAS
  35. Burger, John D. & Warnock, Francis E., 2007. "Foreign participation in local currency bond markets," Review of Financial Economics, Elsevier, vol. 16(3), pages 291-304.
  36. Carmichael, Benoît & Coën, Alain, 2008. "Asset pricing models with errors-in-variables," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 778-788, September.
  37. repec:dau:papers:123456789/3013 is not listed on IDEAS
  38. 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.
  39. Georges Hübner & Thomas Lejeune, 2015. "Portfolio choice and investor preferences : A semi-parametric approach based on risk horizon," Working Paper Research 289, National Bank of Belgium.
  40. Tang, Gordon Y. N., 1997. "Impact of the day-of-the-week effect on diversification of exchange rate risks," International Business Review, Elsevier, vol. 6(1), pages 35-51, February.
  41. Johannes Rauch & Carol Alexander, 2016. "Tail Risk Premia for Long-Term Equity Investors," Papers 1602.00865, arXiv.org.
  42. Belghitar, Yacine & Clark, Ephraim & Deshmukh, Nitin, 2014. "Does it pay to be ethical? Evidence from the FTSE4Good," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 54-62.
  43. Jitka Janová, 2012. "Crop planning optimization model: the validation and verification processes," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 20(3), pages 451-462, September.
  44. Lars Forsberg & Anders Eriksson, 2004. "The Mean Variance Mixing GARCH (1,1) model," Econometric Society 2004 Australasian Meetings 323, Econometric Society.
  45. Amado Peiró, 2001. "Skewness In Individual Stocks At Different Frequencies," Working Papers. Serie EC 2001-07, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  46. 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.
  47. Thomas Astebro & José Mata & Luis Santos-Pinto, 2009. "Preference for Skew in Lotteries: Evidence from the Laboratory," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 09.09, Université de Lausanne, Faculté des HEC, DEEP.
  48. Sanjiv Ranjan Das & Raman Uppal, 2004. "Systemic Risk and International Portfolio Choice," Journal of Finance, American Finance Association, vol. 59(6), pages 2809-2834, December.
  49. Andrew Ang & Joseph Chen & Yuhang Xing, 2006. "Downside Risk," Review of Financial Studies, Society for Financial Studies, vol. 19(4), pages 1191-1239.
    • Andrew Ang & Joseph Chen & Yuhang Xing, 2005. "Downside risk," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
  50. Georges Hübner, 2005. "The Generalized Treynor Ratio," Review of Finance, European Finance Association, vol. 9(3), pages 415-435.
  51. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis, 2016. "Factor Models of Stock Returns: GARCH Errors versus Time‐Varying Betas," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 35(5), pages 445-461, 08.
  52. Rockinger, M. & Jondeau, E., 2001. "Conditional Dependency of Financial Series: An Application of Copulas," Working papers 82, Banque de France.
  53. 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.
  54. Nicholas V. Vakkur, 2012. "Ripple effects: Sarbanes Oxley's impact upon investor risk in a global economy," Review of Accounting and Finance, Emerald Group Publishing, vol. 11(2), pages 184-205, May.
  55. John A. Doukas, 2013. "Managerial gambling attitudes: evidence from bank acquisitions," Review of Behavioral Finance, Emerald Group Publishing, vol. 5(1), pages 4-34, September.
  56. Kerstens, Kristiaan & Mounir, Amine & Van de Woestyne, Ignace, 2011. "Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function," European Journal of Operational Research, Elsevier, vol. 210(1), pages 81-94, April.
  57. Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2015. "Efficient Skewness/Semivariance Portfolios," GEMF Working Papers 2015-05, GEMF, Faculty of Economics, University of Coimbra.
  58. Sharpe, William F, 1991. " Capital Asset Prices with and without Negative Holdings," Journal of Finance, American Finance Association, vol. 46(2), pages 489-509, June.
  59. 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.
  60. Qian, Hang, 2009. "Bayesian Portfolio Selection with Gaussian Mixture Returns," MPRA Paper 32688, University Library of Munich, Germany.
  61. Eakins, Stanley G. & Stansell, Stanley R. & Below, Scott D., 1996. "The determinants of institutional demand for common stock: Tests of the capm vs. individual stock attributes," International Review of Financial Analysis, Elsevier, vol. 5(3), pages 237-257.
  62. Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2015. "Portfolio Management With Higher Moments: The Cardinality Impact," GEMF Working Papers 2015-15, GEMF, Faculty of Economics, University of Coimbra.
  63. T. Clifton Green & Byoung-Hyoun Hwang, 2012. "Initial Public Offerings as Lotteries: Skewness Preference and First-Day Returns," Management Science, INFORMS, vol. 58(2), pages 432-444, February.
  64. Annaert, Jan & De Ceuster, Marc & Verstegen, Kurt, 2013. "Are extreme returns priced in the stock market? European evidence," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3401-3411.
  65. Judd, Kenneth L. & Leisen, Dietmar P.J., 2010. "Equilibrium open interest," Journal of Economic Dynamics and Control, Elsevier, vol. 34(12), pages 2578-2600, December.
  66. Jakša Cvitanić & Vassilis Polimenis & Fernando Zapatero, 2008. "Optimal portfolio allocation with higher moments," Annals of Finance, Springer, vol. 4(1), pages 1-28, January.
  67. Chabi-Yo, Fousseni & Leisen, Dietmar P.J. & Renault, Eric, 2014. "Aggregation of preferences for skewed asset returns," Journal of Economic Theory, Elsevier, vol. 154(C), pages 453-489.
  68. François-Éric Racicot & Raymond Théoret, 2009. "On Optimal Instrumental Variables Generators, with an Application to Hedge Fund Returns," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 15(1), pages 30-43, February.
  69. Pasaribu, Rowland Bismark Fernando, 2010. "Pemilihan Model Asset Pricing
    [Asset pricing model selection: Indonesian Stock Exchange]
    ," MPRA Paper 36978, University Library of Munich, Germany.
  70. Brian M Lucey, Valerio Poti, Edel Tully, 2006. "International Portfolio Formation, Skewness & the Role of Gold," Frontiers in Finance and Economics, SKEMA Business School, vol. 3(1), pages 49-68, June.
  71. Mencía, Javier & Sentana, Enrique, 2009. "Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation," Journal of Econometrics, Elsevier, vol. 153(2), pages 105-121, December.
  72. Hayne E. Leland., 1996. "Beyond Mean-Variance: Performance Measurement of Portfolios Using Options or Dynamic Strategies," Research Program in Finance Working Papers RPF-263-rev, University of California at Berkeley.
  73. Nummelin, Kim, 1997. "Global coskewness and the pricing of Finnish stocks: empirical tests," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(2), pages 137-155, July.
  74. Jiang, Chonghui & Ma, Yongkai & An, Yunbi, 2016. "Portfolio selection with a systematic skewness constraint," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 393-405.
  75. Kadan, Ohad & Liu, Fang, 2014. "Performance evaluation with high moments and disaster risk," Journal of Financial Economics, Elsevier, vol. 113(1), pages 131-155.
  76. Eric Jondeau & Michael Rockinger, 2005. "Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?," FAME Research Paper Series rp132, International Center for Financial Asset Management and Engineering.
  77. repec:eee:ecosys:v:41:y:2017:i:1:p:151-162 is not listed on IDEAS
  78. 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.
  79. Gulder Kemalbay & C. Murat Ozkut & Ceki Franko, 2011. "Portfolio Selection with Higher Moments: A Polynomial Goal Programming Approach to ISE-30 Index," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 13(1), pages 41-61, Special I.
  80. Narayan, Paresh Kumar & Ahmed, Huson Ali, 2014. "Importance of skewness in decision making: Evidence from the Indian stock exchange," Global Finance Journal, Elsevier, vol. 25(3), pages 260-269.
  81. repec:dau:papers:123456789/2749 is not listed on IDEAS
  82. Pierre Chaigneau, 2012. "The Effect of Risk Preferences on the Valuation and Incentives of Compensation Contracts," Cahiers de recherche 1209, CIRPEE.
  83. Iqbal, Javed & Brooks, Robert & Galagedera, Don UA, 2007. "Testing Asset Pricing Models in Emerging Markets: An Examination of Higher Order Co-Moments and Alternative Factor Models," MPRA Paper 25020, University Library of Munich, Germany, revised Oct 2007.
  84. Prakash, Arun J. & Chang, Chun-Hao & Pactwa, Therese E., 2003. "Selecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets," Journal of Banking & Finance, Elsevier, vol. 27(7), pages 1375-1390, July.
  85. Hwang, Soosung & Pedersen, Christian S., 2004. "Asymmetric risk measures when modelling emerging markets equities: evidence for regional and timing effects," Emerging Markets Review, Elsevier, vol. 5(1), pages 109-128, March.
  86. Chiu, Leslie J. Verteramo & Turvey, Calum G., 2013. "A Risk Rationing Model," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150628, Agricultural and Applied Economics Association.
  87. Ulrich Blum & Marc Gaudry, 2000. "SNUS-2.5, a Multimoment Analysis of Road Demand, Accidents and their Severity in Germany, 1968 – 1989," Working Papers of BETA 2000-11, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
  88. Mooreland, Jay, II, 2011. "The Irrational Investor’s Risk Profile," Master's Theses 107787, University of Minnesota, Department of Applied Economics.
  89. Thierry Ané & Chiraz Labidi, 2004. "Return interval, dependence structure, and multivariate normality," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 28(3), pages 285-299, September.
  90. Azad, A.S.M. Sohel & Batten, Jonathan A. & Fang, Victor, 2015. "What determines the yen swap spread?," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 1-13.
  91. Aaron Tornell, 2005. "Systemic Crises and Growth (September 2006)," UCLA Economics Online Papers 359, UCLA Department of Economics.
  92. Turan G. Bali & Nusret Cakici & Robert F. Whitelaw, 2009. "Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns," NBER Working Papers 14804, National Bureau of Economic Research, Inc.
  93. Lam, Keith S.K. & Tam, Lewis H.K., 2011. "Liquidity and asset pricing: Evidence from the Hong Kong stock market," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2217-2230, September.
  94. Marie-Hélène Broihanne & Maxime Merli & Patrick Roger, 2016. "Diversification, gambling and market forces," Review of Quantitative Finance and Accounting, Springer, vol. 47(1), pages 129-157, July.
  95. Chaibi Hasna & Ben Naceur Sami, 2010. "The Best Asset Pricing Model for Estimating Industry Costs of Equity in Tunisia," Review of Middle East Economics and Finance, De Gruyter, vol. 5(3), pages 63-90, February.
  96. Salomons, Roelof & Grootveld, Henk, 2002. "The equity risk premium: emerging versus developed markets," Research Report 02E45, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  97. Chaigneau, Pierre, 2013. "Explaining the structure of CEO incentive pay with decreasing relative risk aversion," Journal of Economics and Business, Elsevier, vol. 67(C), pages 4-23.
  98. Post, Thierry, 2005. "A Stochastic Dominance Approach to Spanning. With an Application to the January Effect/Una aproximación mediante la metodología del dominio estocástico al fenómeno del SPANNING. Una aplicación al efec," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 23, pages 7-25, Abril.
  99. repec:dau:papers:123456789/2167 is not listed on IDEAS
  100. Amaya, Diego & Christoffersen, Peter & Jacobs, Kris & Vasquez, Aurelio, 2015. "Does realized skewness predict the cross-section of equity returns?," Journal of Financial Economics, Elsevier, vol. 118(1), pages 135-167.
  101. Rockinger, Michael & Jondeau, Eric, 2002. "Entropy densities with an application to autoregressive conditional skewness and kurtosis," Journal of Econometrics, Elsevier, vol. 106(1), pages 119-142, January.
  102. Gourieroux, C. & Monfort, A., 2005. "The econometrics of efficient portfolios," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 1-41, January.
  103. BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda, 2005. "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," Cahiers de recherche 2005-04, Universite de Montreal, Departement de sciences economiques.
  104. Zhong, Angel & Gray, Philip, 2016. "The MAX effect: An exploration of risk and mispricing explanations," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 76-90.
  105. Francois-Éric Racicot & Raymond Théoret, 2006. "La Value-at-Risk: Modèles de la VaR, simulations en Visual Basic (Excel) et autres mesures récentes du risque de marché," RePAd Working Paper Series UQO-DSA-wp022006, Département des sciences administratives, UQO.
  106. Knapp, Morris & Gart, Alan & Chaudhry, Mukesh, 2006. "The impact of mean reversion of bank profitability on post-merger performance in the banking industry," Journal of Banking & Finance, Elsevier, vol. 30(12), pages 3503-3517, December.
  107. Guglielmo D’Amico & Giuseppe Di Biase & Raimondo Manca, 2011. "A customer’s utility measure based on the reliability of multi-state systems," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 34(1), pages 1-20, May.
  108. Hagelin, Niclas & Pramborg, Bengt, 2004. "Dynamic investment strategies with and without emerging equity markets," Emerging Markets Review, Elsevier, vol. 5(2), pages 193-215, June.
  109. 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.
  110. Cayton, Peter Julian, 2015. "A Nonparametric Option Pricing Model Using Higher Moments," MPRA Paper 63755, University Library of Munich, Germany.
  111. Bouaddi, Mohammed & Larocque, Denis & Normandin, Michel, 2015. "Equity premia and state-dependent risks," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 393-409.
  112. Sebastian Ebert & Philipp Strack, 2015. "Until the Bitter End: On Prospect Theory in a Dynamic Context," American Economic Review, American Economic Association, vol. 105(4), pages 1618-1633, April.
  113. Stefano Giglio & Kelly Shue, 2013. "No News is News: Do Markets Underreact to Nothing?," NBER Working Papers 18914, National Bureau of Economic Research, Inc.
  114. Amélie Charles & Olivier Darné & Jessica Fouilloux, 2016. "The impact of screening strategies on the performance of ESG indices," Working Papers hal-01344699, HAL.
  115. Ball, Ray & Kothari, S. P. & Shanken, Jay, 1995. "Problems in measuring portfolio performance An application to contrarian investment strategies," Journal of Financial Economics, Elsevier, vol. 38(1), pages 79-107, May.
  116. Juliane Proelss & Denis Schweizer, 2014. "Polynomial goal programming and the implicit higher moment preferences of US institutional investors in hedge funds," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(1), pages 1-28, February.
  117. Tabak, Benjamin M. & de Castro Miranda, Rodrigo & da Silva Medeiros, Maurício, 2016. "Contagion in CDS, banking and equity markets," Economic Systems, Elsevier, vol. 40(1), pages 120-134.
  118. Giuseppe arbia, 2014. "Least quartic Regression Criterion with Application to Finance," Papers 1403.4171, arXiv.org.
  119. Tsionas, Mike G., 2016. "Parameters measuring bank risk and their estimation," European Journal of Operational Research, Elsevier, vol. 250(1), pages 291-304.
  120. Post, G.T., 2003. "Asset prices and omitted moments; A stochastic dominance analysis of market efficiency," ERIM Report Series Research in Management ERS-2003-017-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  121. Charlie Cai & Robert Faff & David Hillier & Michael McKenzie, 2006. "Modelling return and conditional volatility exposures in global stock markets," Review of Quantitative Finance and Accounting, Springer, vol. 27(2), pages 125-142, September.
  122. Tobias J. Moskowitz & Annette Vissing-Jørgensen, 2002. "The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle?," American Economic Review, American Economic Association, vol. 92(4), pages 745-778, September.
  123. Alvaro Cartea & Sam Howison, 2009. "Option pricing with Levy-Stable processes generated by Levy-Stable integrated variance," Quantitative Finance, Taylor & Francis Journals, vol. 9(4), pages 397-409.
  124. Moreno, David & Rodríguez, Rosa, 2009. "The value of coskewness in mutual fund performance evaluation," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1664-1676, September.
  125. Bjorn Wahlroos & Tom Berglund, 1984. "Anomalies and Equilibrium Returns in a Small Stock Market," Discussion Papers 589, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  126. Langnan Chen & Steven Li & Jinan Wang, 2011. "Liquidity, Skewness and Stock Returns: Evidence from Chinese Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(4), pages 405-427, November.
  127. Smith, Daniel R., 2007. "Conditional coskewness and asset pricing," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 91-119, January.
  128. Athayde, Gustavo M. de & Flôres Junior, Renato Galvão, 1999. "Introducing higher moments in the CAPM: some basic ideas," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 362, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  129. Y. Malevergne & D. Sornette, 2007. "A two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes," Papers physics/0702027, arXiv.org.
  130. 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.
  131. Marcelo Bianconi & Joe Akira Yoshino, 2015. "Empirical Estimation of the Cost of Equity: An Application to Selected Brazilian Utilities Companies," Review of Economics & Finance, Better Advances Press, Canada, vol. 5, pages 1-21, February.
  132. Fong, Wai Mun & Lean, Hooi Hooi & Wong, Wing Keung, 2008. "Stochastic dominance and behavior towards risk: The market for Internet stocks," Journal of Economic Behavior & Organization, Elsevier, vol. 68(1), pages 194-208, October.
  133. Devraj Basu & Alexander Stremme, 2006. "Asset Pricing Anomalies and Time-varying Betas: A New Specification Test for Conditional Factor Models," Working Papers wpn06-15, Warwick Business School, Finance Group.
  134. Romain Rancière & Aaron Tornell & Frank Westermann, 2008. "Systemic Crises and Growth," The Quarterly Journal of Economics, Oxford University Press, vol. 123(1), pages 359-406.
  135. Philip A. Horvath & Amit K. Sinha, 2017. "Asymmetric reaction is rational behavior," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(1), pages 160-179, January.
  136. Rui Albuquerque, 2012. "Skewness in Stock Returns: Reconciling the Evidence on Firm Versus Aggregate Returns," Review of Financial Studies, Society for Financial Studies, vol. 25(5), pages 1630-1673.
  137. Durham, J. Benson, 2015. "Betting against beta (and gamma) using government bonds," Staff Reports 708, Federal Reserve Bank of New York.
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