Test of Higher Moment Capital Asset Pricing Model in Case of Pakistani Equity Market
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Sauer, Andreas & Murphy, Austin, 1992. "An empirical comparison of alternative models of capital asset pricing in Germany," Journal of Banking & Finance, Elsevier, vol. 16(1), pages 183-196, February.
- Iqbal, Javed & Brooks, Robert & Galagedera, Don U.A., 2010.
"Testing conditional asset pricing models: An emerging market perspective,"
Journal of International Money and Finance, Elsevier, vol. 29(5), pages 897-918, September.
- Javed Iqbal & Robert Brooks & Don U.A. Galagedera, 2008. "Testing Conditional Asset Pricing Models: An Emerging Market Perspective," Monash Econometrics and Business Statistics Working Papers 3/08, Monash University, Department of Econometrics and Business Statistics.
- Andrew Ang & Joseph Chen & Yuhang Xing, 2006.
"Downside Risk,"
The Review of Financial Studies, Society for Financial Studies, vol. 19(4), pages 1191-1239.
- Andrew Ang & Joseph Chen & Yuhang Xing, 2005. "Downside risk," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- Andrew Ang & Joseph Chen & Yuhang Xing, 2005. "Downside Risk," NBER Working Papers 11824, National Bureau of Economic Research, Inc.
- Jansen, Dennis W & de Vries, Casper G, 1991.
"On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective,"
The Review of Economics and Statistics, MIT Press, vol. 73(1), pages 18-24, February.
- Casper G. De Vries & Dennis W. Jansen, 1988. "On the frequency of large stock returns: putting booms and busts into perspective," Working Papers 1989-006, Federal Reserve Bank of St. Louis.
- Sears, R Stephen & Wei, K C John, 1985. "Asset Pricing, Higher Moments, and the Market Risk Premium: A Note," Journal of Finance, American Finance Association, vol. 40(4), pages 1251-1253, September.
- Cook, Thomas J. & Rozeff, Michael S., 1984. "Size and Earnings/Price Ratio Anomalies: One Effect or Two?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(4), pages 449-466, December.
- Gabriel Hawawini, "undated".
"Market Efficiency and Equity Pricing: International Evidence and Implications for Global Investing,"
Rodney L. White Center for Financial Research Working Papers
08-88, Wharton School Rodney L. White Center for Financial Research.
- Gabriel Hawawini, "undated". "Market Efficiency and Equity Pricing: International Evidence and Implications for Global Investing," Rodney L. White Center for Financial Research Working Papers 8-88, Wharton School Rodney L. White Center for Financial Research.
- Lee, Cheng F., 1977. "Functional Form, Skewness Effect, and the Risk-Return Relationship," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(1), pages 55-72, March.
- Robert F. Dittmar, 2002. "Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns," Journal of Finance, American Finance Association, vol. 57(1), pages 369-403, February.
- Post, Thierry & van Vliet, Pim & Levy, Haim, 2008. "Risk aversion and skewness preference," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1178-1187, July.
- Lim, Kian-Guan, 1989. "A New Test of the Three-Moment Capital Asset Pricing Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(2), pages 205-216, June.
- Ang, Andrew & Chen, Joseph, 2002. "Asymmetric correlations of equity portfolios," Journal of Financial Economics, Elsevier, vol. 63(3), pages 443-494, March.
- Smith, Daniel R., 2007. "Conditional coskewness and asset pricing," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 91-119, January.
- Kane, Alex, 1982. "Skewness Preference and Portfolio Choice," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(1), pages 15-25, March.
- Green, Christopher J, 1990. "Asset Demands and Asset Prices in the U.K.: Is There a Risk Premium," The Manchester School of Economic & Social Studies, University of Manchester, vol. 58(3), pages 211-228, September.
- Hawawini, Gabriel A., 1980. "An Analytical Examination of the Intervaling Effect on Skewness and Other Moments," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(5), pages 1121-1127, December.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Akbar, Muhammad & Nguyen, Thuy Thu, 2016. "The explanatory power of higher moment capital asset pricing model in the Karachi stock exchange," Research in International Business and Finance, Elsevier, vol. 36(C), pages 241-253.
- Jawad Mohammad & Attiya Yasmin Javid, 2015. "An Analysis of Accrual Anomaly in Case of Karachi Stock Exchange," PIDE-Working Papers 2015:116, Pakistan Institute of Development Economics.
- Hafiz Muhammad Zia ul haq & Muhammad Sohail Shafiq & Muhammad Kashif & Saba Ameer, 2020. "Determining Force behind Value Premium: The Case of Financial Leverage and Operating Leverage," JRFM, MDPI, vol. 13(9), pages 1-15, September.
- Madiha Kazmi & Umara Noreen & Imran Abbas Jadoon & Attayah Shafique, 2021. "Downside Beta and Downside Gamma: In Search for a Better Capital Asset Pricing Model," Risks, MDPI, vol. 9(12), pages 1-14, December.
- Syed Aziz Rasool & Adiqa Kausar Kiani & Noor Jehan, 2018. "The Myth of Downside Risk Based Capital Asset Pricing Model: Empirical Evidence from South Asian Countries," Global Social Sciences Review, Humanity Only, vol. 3(3), pages 265-280, September.
- Nida SHAH* & Javaid DARS* & Ambreen ZEB**, 2015. "Market Varying Conditional Risk-Return Relationship," Pakistan Journal of Applied Economics, Applied Economics Research Centre, vol. 25(1), pages 25-43.
- 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.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Attiya Y. Javid & Eatzaz Ahmad, 2008. "Test of Multi-moment Capital Asset Pricing Model: Evidence from Karachi Stock Exchange," PIDE-Working Papers 2008:49, Pakistan Institute of Development Economics.
- 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.
- Chenglu Jin & Thomas Conlon & John Cotter, 2023.
"Co-Skewness across Return Horizons,"
Journal of Financial Econometrics, Oxford University Press, vol. 21(5), pages 1483-1518.
- Thomas Conlon & John Cotter & Chenglu Jin, 2019. "Co-skewness across Return Horizons," Working Papers 201910, Geary Institute, University College Dublin.
- Chenglu Jin & Thomas Conlon & John Cotter, 2022. "Co-skewness across Return Horizons," Working Papers 202210, Geary Institute, University College Dublin.
- Maheu, John M. & McCurdy, Thomas H. & Zhao, Xiaofei, 2013.
"Do jumps contribute to the dynamics of the equity premium?,"
Journal of Financial Economics, Elsevier, vol. 110(2), pages 457-477.
- John M. Maheu & Thomas H. McCurdy & Xiaofei Zhao, 2012. "Do Jumps Contribute to the Dynamics of the Equity Premium?," Working Paper series 47_12, Rimini Centre for Economic Analysis.
- Sévi, Benoît, 2013.
"An empirical analysis of the downside risk-return trade-off at daily frequency,"
Economic Modelling, Elsevier, vol. 31(C), pages 189-197.
- Benoît Sévi, 2013. "An empirical analysis of the downside risk-return trade-off at daily frequency," Post-Print hal-01500860, HAL.
- Anthonisz, Sean A., 2012. "Asset pricing with partial-moments," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2122-2135.
- Bali, Turan G. & Cakici, Nusret & Whitelaw, Robert F., 2011. "Maxing out: Stocks as lotteries and the cross-section of expected returns," Journal of Financial Economics, Elsevier, vol. 99(2), pages 427-446, February.
- Chang, Bo Young & Christoffersen, Peter & Jacobs, Kris, 2013.
"Market skewness risk and the cross section of stock returns,"
Journal of Financial Economics, Elsevier, vol. 107(1), pages 46-68.
- Chang, Bo Young & Christoffersen, Peter & Jacobs, Kris, 2010. "Market Skewness Risk and the Cross-Section of Stock Returns," Working Papers 11-18, University of Pennsylvania, Wharton School, Weiss Center.
- Massimo Guidolin & Giovanna Nicodano, 2009.
"Small caps in international equity portfolios: the effects of variance risk,"
Annals of Finance, Springer, vol. 5(1), pages 15-48, January.
- Massimo Guidolin & Giovanna Nicodano, 2005. "Small Caps in International Equity Portfolios: The Effects of Variance Risk," CeRP Working Papers 41, Center for Research on Pensions and Welfare Policies, Turin (Italy).
- Massimo Guidolin & Giovanna Nicodano, 2007. "Small caps in international equity portfolios: the effects of variance risk," Working Papers 2005-075, Federal Reserve Bank of St. Louis.
- Harris, Richard D.F. & Nguyen, Linh H. & Stoja, Evarist, 2019. "Systematic extreme downside risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 128-142.
- Cerrato, Mario & Crosby, John & Kim, Minjoo & Zhao, Yang, 2015. "US Monetary and Fiscal Policies - Conflict or Cooperation?," SIRE Discussion Papers 2015-78, Scottish Institute for Research in Economics (SIRE).
- Chi‐Hsiou Hung, 2008.
"Return Predictability of Higher‐Moment CAPM Market Models,"
Journal of Business Finance & Accounting,
Wiley Blackwell, vol. 35(7‐8), pages 998-1022, September.
- Chi-Hsiou Hung, 2008. "Return Predictability of Higher-Moment CAPM Market Models," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(7-8), pages 998-1022.
- repec:hum:wpaper:sfb649dp2016-001 is not listed on IDEAS
- Högholm, Kenneth & Knif, Johan & Koutmos, Gregory & Pynnönen, Seppo, 2011. "Distributional asymmetry of loadings on market co-moments," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(5), pages 851-866.
- Low, Rand Kwong Yew & Alcock, Jamie & Faff, Robert & Brailsford, Timothy, 2013. "Canonical vine copulas in the context of modern portfolio management: Are they worth it?," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3085-3099.
- Kostakis, Alexandros & Muhammad, Kashif & Siganos, Antonios, 2012. "Higher co-moments and asset pricing on London Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 913-922.
- Cerrato, Mario & Crosby, John & Kim, Minjoo & Zhao, Yang, 2015. "US Monetary and Fiscal Policies - Conflict or Cooperation?," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-78, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Lin, Yuehao & Lehnert, Thorsten & Wolff, Christian, 2019.
"Skewness risk premium: Theory and empirical evidence,"
International Review of Financial Analysis, Elsevier, vol. 63(C), pages 174-185.
- Wolff, Christian & Lehnert, Thorsten & Lin, Yuehao, 2013. "Skewness Risk Premium: Theory and Empirical Evidence," CEPR Discussion Papers 9349, C.E.P.R. Discussion Papers.
- Christian Wolff & Thorsten Lehnert & Yuehao Lin, 2014. "Skewness Risk Premium: Theory and Empirical Evidence," LSF Research Working Paper Series 14-05, Luxembourg School of Finance, University of Luxembourg.
- Massimo Guidolin & Allan Timmermann, 2008.
"International asset allocation under regime switching, skew, and kurtosis preferences,"
The Review of Financial Studies, Society for Financial Studies, vol. 21(2), pages 889-935, April.
- Massimo Guidolin & Allan Timmerman, 2006. "International asset allocation under regime switching, skew and kurtosis preferences," Working Papers 2005-034, Federal Reserve Bank of St. Louis.
- Cerrato, Mario & Crosby, John & Kim, Minjoo & Zhao, Yang, 2017. "Relation between higher order comoments and dependence structure of equity portfolio," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 101-120.
- I-Hsuan Ethan Chiang, 2016. "Skewness And Coskewness In Bond Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 39(2), pages 145-178, June.
More about this item
Keywords
Covariance; coskewness; cokurtosis; non-normal return distribution; capital asset pricing model; time-varying moments;All these keywords.
JEL classification:
- C29 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Other
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:38059. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.