Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1002959 | Research in International Business and Finance | 2012 | 12 Pages |
Abstract
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.
Keywords
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Authors
Minh Phuong Doan, Chien-Ting Lin,