ASSET PRICING WITH HIGHER COMOMENTS
(2015) BUSP70 20151Department of Business Administration
- Abstract
- Empirical and theoretical research has for some time argued that investors
also expect rewards for bearing risk related to higher moments. This thesis examines if inclusion of coskewness and cokurtosis helps to explain the variation in asset returns. These factors are added to models that also account for market risk , Fama-French factors and momentum. We use methodology of realized moments to estimate our proxies for coskewness and cokurtosis. A simulation shows that the estimator work well under certain return characteristics. We find that cokurtosis often is significant and adds explaining power, but the evidence is not always consistent. Coskewness does not prove to be an important factor in our model.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/7359330
- author
- Hirzallah, Laith LU and Filipovic, Edin LU
- supervisor
- organization
- course
- BUSP70 20151
- year
- 2015
- type
- H2 - Master's Degree (Two Years)
- subject
- language
- English
- id
- 7359330
- date added to LUP
- 2015-06-16 16:33:17
- date last changed
- 2015-06-18 14:04:28
@misc{7359330, abstract = {{Empirical and theoretical research has for some time argued that investors also expect rewards for bearing risk related to higher moments. This thesis examines if inclusion of coskewness and cokurtosis helps to explain the variation in asset returns. These factors are added to models that also account for market risk , Fama-French factors and momentum. We use methodology of realized moments to estimate our proxies for coskewness and cokurtosis. A simulation shows that the estimator work well under certain return characteristics. We find that cokurtosis often is significant and adds explaining power, but the evidence is not always consistent. Coskewness does not prove to be an important factor in our model.}}, author = {{Hirzallah, Laith and Filipovic, Edin}}, language = {{eng}}, note = {{Student Paper}}, title = {{ASSET PRICING WITH HIGHER COMOMENTS}}, year = {{2015}}, }