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ASSET PRICING WITH HIGHER COMOMENTS

Hirzallah, Laith LU and Filipovic, Edin LU (2015) BUSP70 20151
Department 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.
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author
Hirzallah, Laith LU and Filipovic, Edin LU
supervisor
organization
course
BUSP70 20151
year
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},
}