کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1002959 937512 2012 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On the robustness of higher-moment factors in explaining average expected returns: Evidence from Australia
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار و مدیریت بین المللی
پیش نمایش صفحه اول مقاله
On the robustness of higher-moment factors in explaining average expected returns: Evidence from Australia
چکیده انگلیسی

This study tests the importance of systematic skewness and systematic kurtosis of Australian stock returns in the spirit of the higher-moment asset pricing model. We apply the Dagenais and Dagenais (1997) higher-moment estimators to correct for the errors-in-variables (EIVs) problems commonly found in the Fama and MacBeth (1973) two-pass regression methodology. After correcting for the EIVs problems, the two higher-moment factors, especially systematic skewness, are important in pricing Australian stocks. Systematic kurtosis appears to replace beta which plays a diminished role in the heavy-tailed return distribution.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Research in International Business and Finance - Volume 26, Issue 1, January 2012, Pages 67–78
نویسندگان
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