Exploring Downside Co-Skewness and Upside Co-Kurtosis: Implications for Asset Pricing Models
Exploring Downside Co-Skewness and Upside Co-Kurtosis: Implications for Asset Pricing Models
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Islamabad: Air University Faculty of Administrative Sciences
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English
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Islamabad: Air University Faculty of Administrative Sciences
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Furthermore, when these higher-order co-moments are incorporated into the Capital Asset Pricing Model (CAPM), they demonstrate significant explanatory power in understanding the variations in stock returns. Using data from Russian Stock Market, Teplova and Shutova (2011) compared different specification of the models and found that the investors as...
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Exploring Downside Co-Skewness and Upside Co-Kurtosis: Implications for Asset Pricing Models
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TN_cdi_proquest_journals_3086409127
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_3086409127
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ISSN
2075-6909
DOI
10.62500/jbe.vl6il.574
