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

Lim, Kian Guan

doi:10.2307/2330772

Cited by 129 publications

(77 citation statements)

References 16 publications

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“…Theoretically, when the market returns are positively (negatively) skewed, the market premium for an asset's co-skewness with the market, γ 2 , is negative (positive) (Lim, 1989). Therefore, from the results given in Table 3 and Table 5, the risk premium for co-skewness γ 2 was positive and market was negatively skewed (-0.2012), which indicated that co-skewness risk was compensated in the Dhaka stock market.…”

Section: Ordinary Least Squares (Ols) Estimates Of Higher Moment Capmmentioning

confidence: 87%

An Empirical Analysis of Higher Moment Capital Asset Pricing Model for Bangladesh Stock Market

Hasan¹,

Kamil²,

Mustafa³

et al. 2013

MAS

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Section: Ordinary Least Squares (Ols) Estimates Of Higher Moment Capmmentioning

confidence: 87%

An Empirical Analysis of Higher Moment Capital Asset Pricing Model for Bangladesh Stock Market

Hasan¹,

Kamil²,

Mustafa³

et al. 2013

MAS

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“…Kraus and Litzenberger (1976) provide evidence for the pricing of the third systematic co-moment (coskewness) for stocks that were continuously listed on the NYSE from 1926 through 1935. Barone-Adesi (1985) and Lim (1989), among others, also show evidence for the pricing of coskewness. Harvey and Siddique (2000), Smith (2005) and Errunza and Sy (2005) find evidence that conditional coskewness helps explain the cross-section of stock returns.…”

Section: Introductionmentioning

confidence: 87%

Momentum, Size and Value Factors versus Systematic Co-Moments in Stock Returns

Hung

2008

SSRN Journal

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Further information on publisher's website:http://www.dur.ac.uk/business/faculty/working-papers/ Publisher's copyright statement:Additional information: Use policyThe full-text may be used and/or reproduced, and given to third parties in any format or medium, without prior permission or charge, for personal research or study, educational, or not-for-prot purposes provided that:• a full bibliographic reference is made to the original source • a link is made to the metadata record in DRO • the full-text is not changed in any way The full-text must not be sold in any format or medium without the formal permission of the copyright holders.Please consult the full DRO policy for further details. Momentum, Size and Value Factors versus Systematic Co-moments in Stock Returns AbstractThis article assesses the empirical performance of the momentum, size and book-tomarket factors versus higher systematic co-moments and also examines whether the momentum factor (WML) proxies for higher systematic co-moments. Both the three and four-moment CAPMs have lower absolute pricing errors than the Fama and French (1973) and the Carhart (1997) models. The three-moment CAPM that incorporates coskewness well explains the cross-section of returns of size portfolios.The four-moment CAPM that further incorporates cokurtosis well explains the cross-section of momentum returns. The momentum factor, apart from SMB and HML factors, also proxies for the measures of market risk not captured by the twomoment CAPM.JEL Classifications: G11; G12

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“…Entre seus resultados, destaca-se também a verificação de que a assimetria é reduzida quando os ativos são combinados em carteiras. Lim (1989) testou o modelo de Kraus e Litzenberger (1976) usando o méto-do dos momentos generalizado (GMM) de Hansen (1982). Uma das vantagens desse método é que ele não impõe hipóteses acerca da distribuição de probabilidade das taxas de retorno dos ativos.…”

Section: Fund a M E N Ta ç ã O T E ó R I C Aunclassified

“…Esse fato é especialmente interessante para este tipo de estudo, uma vez que não há uma distribuição de probabilidade consensual para taxas de retorno com coassimetria. Como resultado, Lim (1989) encontrou evidências de que a assimetria sistêmica possui um preço.…”

Section: Fund a M E N Ta ç ã O T E ó R I C Aunclassified

Coassimetria, cocurtose e as taxas de retorno das ações: uma análise com dados em painel

Castro

Yoshinaga

2012

RAM, Rev. Adm. Mackenzie

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Este artigo pode ser copiado, distribuído, exibido, transmitido ou adaptado desde que citados, de forma clara e explícita, o nome da revista, a edição, o ano e as páginas nas quais o artigo foi publicado originalmente, mas sem sugerir que a RAM endosse a reutilização do artigo. Esse termo de licenciamento deve ser explicitado para os casos de reutilização ou distribuição para terceiros. Não é permitido o uso para fins comerciais.• RAM, REV. ADM. MACKENZIE, V. 13, N. 1 • SÃO PAULO, SP • JAN./FEV. 2012 • ISSN 1518-6776 (impresso) • ISSN 1678-6971 (on-line) • Submissão: 31 mar. 2010. Aceitação: 7 out. 2010. Sistema de avaliação: às cegas dupla (double blind review). UNIVERSIDADE PRESBITERIANA MACKENZIE. Walter Bataglia (Ed.), p. 110-144.

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

Cited by 129 publications

References 16 publications

An Empirical Analysis of Higher Moment Capital Asset Pricing Model for Bangladesh Stock Market

An Empirical Analysis of Higher Moment Capital Asset Pricing Model for Bangladesh Stock Market

Momentum, Size and Value Factors versus Systematic Co-Moments in Stock Returns

Coassimetria, cocurtose e as taxas de retorno das ações: uma análise com dados em painel

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