Higher co-moments and asset pricing on emerging stock markets by quantile regression approach
Higher co-moments and asset pricing on emerging stock markets by quantile regression approach
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Prague Development Center
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English
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Prague Development Center
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This paper investigates the role of the third and fourth moments which impact on weekly stock return for the all twenty-five emerging stock markets (featured by MSCI - Morgan Stanley Capital International) during the period from April 2005 to November 2017. We employ the traditional CAPM combined with co-skewness and co-kurtosis representing nonlin...
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Higher co-moments and asset pricing on emerging stock markets by quantile regression approach
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TN_cdi_ceeol_journals_665995
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_ceeol_journals_665995
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ISSN
1804-5006
E-ISSN
1804-5006
DOI
10.15208/beh.2018.11
