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Are Downside Higher Order Co-Moments Priced?: Evidence from the French MarketHouda Hafsaaffiliation not provided to SSRN Dorra Hmaiedaffiliation not provided to SSRN 2012 The International Journal of Business and Finance Research, Vol. 6, No. 1, pp. 65-81, 2012 Abstract: This study examines the role of downside higher order co-moments in asset pricing models when stock returns are not normal. We test the effect of higher order downside co-moments using a data set of daily returns of Société des Bourses Françaises 250 Index stocks during the period 1987-2009. The results suggest that the downside Beta and higher order co-moments in the downside framework should be considered together when returns are non normal and that they out-perform the traditional beta.
Number of Pages in PDF File: 17 Keywords: downside Beta, downside higher order co-moments, CAPM, French stock market JEL Classification: G12, G15, C21 Accepted Paper SeriesDate posted: January 6, 2012Suggested Citation |
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