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A New Test of the Three-Moment Capital Asset Pricing Model

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Cited by:

  1. Muhammad Akbar & Shahid Ali, 2010. "A Test Of The Validity Of The CAPM In Pakistani Equity Market," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 2(1), pages 23-28, April.
  2. Christie-David, Rohan & Chaudhry, Mukesh, 2001. "Coskewness and cokurtosis in futures markets," Journal of Empirical Finance, Elsevier, vol. 8(1), pages 55-81, March.
  3. François-Éric Racicot & Raymond Théoret, 2009. "Integrating volatility factors in the analysis of the hedge fund alpha puzzle," Journal of Asset Management, Palgrave Macmillan, vol. 10(1), pages 37-62, April.
  4. Lin, Yuehao & Lehnert, Thorsten & Wolff, Christian, 2019. "Skewness risk premium: Theory and empirical evidence," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 174-185.
  5. Rodríguez, Mª Araceli, 2005. "Nueva Evidencia Empírica sobre las Turbulencias Cambiarias de la Peseta Española. 1989-1998/New Evidence about Turbulences on the Spanish Peseta. 1989-1998s," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 23, pages 207-230, Abril.
  6. 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.
  7. 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.
  8. Bill Ding & Hany A. Shawky, 2007. "The Performance of Hedge Fund Strategies and the Asymmetry of Return Distributions," European Financial Management, European Financial Management Association, vol. 13(2), pages 309-331, March.
  9. 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.
  10. 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.
  11. Ayadi, Mohamed A. & Cao, Xu & Lazrak, Skander & Wang, Yan, 2019. "Do idiosyncratic skewness and kurtosis really matter?," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  12. Christoffersen, Peter & Fournier, Mathieu & Jacobs, Kris & Karoui, Mehdi, 2021. "Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 56(1), pages 65-91, February.
  13. Andrew J. Patton, 2004. "On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation," Journal of Financial Econometrics, Oxford University Press, vol. 2(1), pages 130-168.
  14. 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.
  15. 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.
  16. Pedro L. Sánchez-Torres & Enrique Sentana, 1998. "Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market," Investigaciones Economicas, Fundación SEPI, vol. 22(1), pages 5-17, January.
  17. Panagiotis Samartzis & Nikitas Pittis & Nikolaos Kourogenis & Phoebe Koundouri, 2013. "Factor Models of Stock Returns: GARCH Errors versus Autoregressive Betas," DEOS Working Papers 1318, Athens University of Economics and Business.
  18. 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, August.
  19. 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.
  20. Abed Masrorkhah, Sara & Lehnert, Thorsten, 2017. "Press freedom and jumps in stock prices," Economic Systems, Elsevier, vol. 41(1), pages 151-162.
  21. Timothy W. Vines & Cheng-Ho Hsieh & John J. Hatem, 1994. "The Role of Systematic Covariance and Coskewness in the Pricing of Real Estate: Evidence from Equity REITs," Journal of Real Estate Research, American Real Estate Society, vol. 9(4), pages 421-430.
  22. Sévi, Benoît, 2013. "An empirical analysis of the downside risk-return trade-off at daily frequency," Economic Modelling, Elsevier, vol. 31(C), pages 189-197.
  23. 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.
  24. 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.
  25. Chi‐Hsiou Hung, 2008. "Return Predictability of Higher‐Moment CAPM Market Models," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(7‐8), pages 998-1022, September.
  26. 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.
  27. Malevergne, Y. & Sornette, D., 2007. "Self-consistent asset pricing models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 149-171.
  28. Yong Bao, 2013. "On Sample Skewness and Kurtosis," Econometric Reviews, Taylor & Francis Journals, vol. 32(4), pages 415-448, December.
  29. Vendrame, Vasco & Guermat, Cherif & Tucker, Jon, 2023. "A conditional higher-moment CAPM," International Review of Financial Analysis, Elsevier, vol. 86(C).
  30. 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.
  31. Wang, Jinan & Chen, Langnan, 2012. "Liquidity-adjusted conditional capital asset pricing model," Economic Modelling, Elsevier, vol. 29(2), pages 361-368.
  32. Mosoeu, Selebogo & Kodongo, Odongo, 2022. "The Fama-French five-factor model and emerging market equity returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 55-76.
  33. 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.
  34. 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.
  35. 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.
  36. Wei-Han Liu, 2014. "Optimal hedge ratio estimation and hedge effectiveness with multivariate skew distributions," Applied Economics, Taylor & Francis Journals, vol. 46(12), pages 1420-1435, April.
  37. 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.
  38. 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.
  39. 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.
  40. repec:kap:iaecre:v:15:y:2009:i:1:p:30-43 is not listed on IDEAS
  41. Chen, Qian & Gerlach, Richard & Lu, Zudi, 2012. "Bayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distribution," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3498-3516.
  42. Khan, Umair & Khalid, Umair & Farooq, Fatima, 2021. "Endogeneity Quagmire Empirical Evidence from Telecommunication Industry of Pakistan," Journal of Accounting and Finance in Emerging Economies, CSRC Publishing, Center for Sustainability Research and Consultancy Pakistan, vol. 7(4), pages 955-967, December.
  43. Chi-Hsiou Hung, 2007. "Momentum, Size and Value Factors versus Systematic Co-moments in Stock Returns," Department of Economics Working Papers 2007_02, Durham University, Department of Economics.
  44. Y. Malevergne & D. Sornette, 2002. "Multi-Moments Method for Portfolio Management: Generalized Capital Asset Pricing Model in Homogeneous and Heterogeneous markets," Papers cond-mat/0207475, arXiv.org.
  45. Chan, Raymond H. & Chow, Sheung-Chi & Guo, Xu & Wong, Wing-Keung, 2022. "Central moments, stochastic dominance, moment rule, and diversification with an application," Chaos, Solitons & Fractals, Elsevier, vol. 161(C).
  46. Bing-Huei Lin & Jerry Wang, 2003. "Systematic skewness in asset pricing: an empirical examination of the Taiwan stock market," Applied Economics, Taylor & Francis Journals, vol. 35(17), pages 1877-1887.
  47. 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, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
  48. Y. Malevergne & D. Sornette, 2007. "A two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes," Papers physics/0702027, arXiv.org.
  49. 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.
  50. 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.
  51. Javid, Attiya Yasmin, 2009. "Test of Higher Moment Capital Asset Pricing Model in Case of Pakistani Equity Market," MPRA Paper 38059, University Library of Munich, Germany.
  52. Nishioka, Shinichi & Baba, Naohiko, 2008. "Risk taking by Japanese bond investors: Testing the "reach for yields" hypothesis in the Japanese bond markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(4), pages 691-707, November.
  53. 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.
  54. Chi-Hsiou Hung, 2007. "Return Explanatory Ability and Predictability of Non-Linear Market Models," Department of Economics Working Papers 2007_05, Durham University, Department of Economics.
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