Are Co-Skewness and Co-Kurtosis Factors Priced?

38 Pages Posted: 27 Aug 2011  

Richard A. Heaney

University of Western Australia

Yihui Lan

University of Western Australia

Sirimon Treepongkaruna

University of Western Australia; Financial Research Network (FIRN)

Date Written: August 26, 2011

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.

Keywords: asset pricing, skewness, kurtosis, size, book-to-market, momentum

JEL Classification: G12

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

Richard A. Heaney (Contact Author)

University of Western Australia ( email )

School of Business
35 Stirling Highway
Crawley, Western Australia 6009
Australia
08 6488 2902 (Phone)
08 6488 1047 (Fax)

Yihui Lan

University of Western Australia ( email )

35 Stirling Highway
Crawley, WA Western Australia 6009
AUSTRALIA

Sirimon Treepongkaruna

University of Western Australia ( email )

35 Stirling Highway
Crawley, WA Western Australia 6009
Australia
+61864887853 (Phone)
+61864881086 (Fax)

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

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