38 Pages Posted: 27 Aug 2011
Date Written: August 26, 2011
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.
Keywords: asset pricing, skewness, kurtosis, size, book-to-market, momentum
JEL Classification: G12
Suggested Citation: Suggested Citation
Heaney, Richard A. and Lan, Yihui and Treepongkaruna, Sirimon, Are Co-Skewness and Co-Kurtosis Factors Priced? (August 26, 2011). 24th Australasian Finance and Banking Conference 2011 Paper. Available at SSRN: https://ssrn.com/abstract=1917084 or http://dx.doi.org/10.2139/ssrn.1917084