Article ID Journal Published Year Pages File Type
5059223 Economics Letters 2014 4 Pages PDF
Abstract
The coskewness-cokurtosis pricing model is equivalent to absence of any positive-alpha return for which the residual risk has positive coskewness and negative cokurtosis with the market. This parallels the CAPM and also the fundamental theorem of asset pricing.
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Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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A characterization of the coskewness-cokurtosis pricing model
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