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- Title
Empirical Evidence on the Conditional Relation between Higher-Order Systematic Co-moments and Security Returns.
- Authors
Galagedera, Don U. A; Henry, Darren; Silvapulle, Param
- Abstract
This paper contributes to the debate on whether systematic higher-order co-moments are able to explain cross-sectional security returns. We argue that a possible reason for inconclusive evidence in the previous studies might be the failure to accommodate market movements in the analysis. We estimate two risk premiums for each systematic variance, systematic skewness, and systematic kurtosis corresponding to the up market (positive excess market returns) and the down market (negative excess market returns). The results show that in the up market, the beta risk premium is positive and the co-skewness risk premium has the opposite sign to the up market skewness. In the down market, the beta risk premium is negative and the co-skewness risk premium has the same sign as the up market skewness. The systematic co-kurtosis does not appear to be priced.
- Subjects
FINANCIAL markets; RISK premiums; RATE of return; RATIO analysis
- Publication
Quarterly Journal of Business & Economics, 2003, Vol 42, Issue 1/2, p121
- ISSN
0747-5535
- Publication type
Article