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Skewness preference, value and size effects

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  • Suchismita Mishra
  • Richard DeFusco
  • Arun Prakash

Abstract

We test the Kraus-Litzenberger three-moment capital asset pricing model (CAPM) and the Fama-French (FF) three-factor (FF) model with the C-test proposed by Davidson and MacKinnon. We are unable to reject the null hypothesis that expected returns are described by either of the models in cross-sectional regressions. However, for size-sorted portfolios, both the FF three-factor and the three-moment CAPM significantly explain expected returns.

Suggested Citation

  • Suchismita Mishra & Richard DeFusco & Arun Prakash, 2008. "Skewness preference, value and size effects," Applied Financial Economics, Taylor & Francis Journals, vol. 18(5), pages 379-386.
    • Handle: RePEc:taf:apfiec:v:18:y:2008:i:5:p:379-386
    DOI: 10.1080/09603100600892855
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    References listed on IDEAS

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    Cited by:

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    2. José Luis Miralles-Quirós & María Mar Miralles-Quirós & José Manuel Nogueira, 2020. "Sustainable Development Goals and Investment Strategies: The Profitability of Using Five-Factor Fama-French Alphas," Sustainability, MDPI, vol. 12(5), pages 1-16, February.

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