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Are Co-Skewness and Co-Kurtosis Factors Priced?Richard A. HeaneyUniversity of Western Australia; Financial Research Network (FIRN) Yihui LanUniversity of Western Australia - UWA Business School Sirimon TreepongkarunaUniversity of Western Australia; Financial Research Network (FIRN) August 26, 2011 24th Australasian Finance and Banking Conference 2011 Paper Abstract: This paper investigates whether co-skewness and co-kurtosis are priced in US stocks over the period from July 1963 to December 2010, using the Fama and Macbeth (1973) method. The results in this paper suggest that these moment based variables are subsumed by the Fama and French (1992, 1993) three-factor model. We also include a momentum factor in our analysis but find little support for this factor except in the earlier part of our study period (July 1963 to December 1990). Our findings reaffirm the importance of size and book-to-market factors in the US stock market.
Number of Pages in PDF File: 38 Keywords: asset pricing, skewness, kurtosis, size, book-to-market, momentum JEL Classification: G12 working papers seriesDate posted: August 27, 2011Suggested CitationContact Information
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