On The Robustness Of Higher-Moment Factors In Explaining Average Expected Returns: Evidence From Australia
Research in International Business and Finance(2012)
摘要
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. (C) 2011 Elsevier B.V. All rights reserved.
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关键词
Systematic skewness,Systematic kurtosis,Errors-in-variables,Higher moment estimators
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