Taiwan stock market and four-moment asset pricing model

Distributional asymmetry of loadings on market co-moments

“…These empirical results support the findings of Galagedera et al (2003) and Chiao et al (2003) that market coskewness has a significant impact on excess returns if conditioned upon different parts of the distribution. However, our results further indicate a robust impact pattern for the loading on market coskewness and the results show that the loading on market cokurtosis has a lower impact that is highly conditional upon the quantile parameter.…”

“…Splitting the data in discrete up and down markets as in Galagedera et al (2003), Chiao et al (2003) and Hung et al (2004) or accounting for bull and bear regimes as in Guidolin and Timmermann (2008) is a good start but apparently not sufficient to fully capture the distributional dependence of the coskewness factor. The results for the loadings on market cokurtosis are presented in Table 5.…”

“…Most applications use traditional time series regression methods based on OLS or GMM (e.g. Hwang and Satchell, 1999;Harvey and Siddique, 2000;Dittmar, 2002;Galagedera et al, 2003;Ranaldo and Favre, 2003;Chiao et al, 2003;Hung et al, 2004;Carvalhal da Silva, 2005;Smith, 2007;Post et al, 2008;Yang and Chen, 2009;Potì and Wang, 2010).…”

“…Chunhachinda et al, 1997;Harvey and Siddique, 2000;Chiao et al, 2003;Galagedera et al, 2003;Hung et al, 2004;Carvalhal da Silva, 2005;Mauleón, 2006;Guidolin and Timmermann, 2008;Post et al, 2008;Hurlin et al, 2009;You and Daigler, 2010).…”

“…By splitting the analysis in "up markets" and "down markets" Galagedera et al (2003) show for Australian stocks that coskewness is priced but cokurtosis appeared not to be priced. Corresponding empirical evidence for the Taiwan stock market is given in Chiao et al (2003). Empirical results for the UK stock market are presented by Hung et al (2004).…”