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Risk return and the three-moment capital asset pricing model: another look

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  • Tan, Kai-Jiaw

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  • Tan, Kai-Jiaw, 1991. "Risk return and the three-moment capital asset pricing model: another look," Journal of Banking & Finance, Elsevier, vol. 15(2), pages 449-460, April.
    • Handle: RePEc:eee:jbfina:v:15:y:1991:i:2:p:449-460
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    Cited by:

    1. Rodríguez, Mª Araceli, 2005. "Nueva Evidencia Empírica sobre las Turbulencias Cambiarias de la Peseta Española. 1989-1998/New Evidence about Turbulences on the Spanish Peseta. 1989-1998s," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 23, pages 207-230, Abril.
    2. Tamara Teplova & Evgeniya Shutova, 2011. "A Higher Moment Downside Framework for Conditional and Unconditional Capm in the Russian Stock Market," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 1(2), pages 157-178, December.
    3. Vendrame, Vasco & Tucker, Jon & Guermat, Cherif, 2016. "Some extensions of the CAPM for individual assets," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 78-85.
    4. Michael Rockinger & Eric Jondeau, 2000. "Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence," Working Papers hal-00601486, HAL.
    5. Jondeau, Eric & Rockinger, Michael, 2003. "Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1699-1737, August.
    6. Unser, Matthias, 2000. "Lower partial moments as measures of perceived risk: An experimental study," Journal of Economic Psychology, Elsevier, vol. 21(3), pages 253-280, June.
    7. Athayde, Gustavo M. de & Flôres Junior, Renato Galvão, 1999. "Introducing higher moments in the CAPM: some basic ideas," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 362, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    8. Dheeraj Misra & Sushma Vishnani & Ankit Mehrotra, 2019. "Four-moment CAPM Model: Evidence from the Indian Stock Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(1_suppl), pages 137-166, April.
    9. Chiao, Chaoshin & Hung, Ken & Srivastava, Suresh C., 2003. "Taiwan stock market and four-moment asset pricing model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(4), pages 355-381, October.

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