Cookies

We use cookies to ensure that we give you the best experience on our website. You can change your cookie settings at any time. Otherwise, we'll assume you're OK to continue.


Durham Research Online
You are in:

Return predictability of higher-moment CAPM market models.

Hung, C-H. (2008) 'Return predictability of higher-moment CAPM market models.', Journal of business finance & accounting., 35 (7 & 8). pp. 998-1022.

Abstract

This paper examines the relative performance of the higher-moment CAPM market models and the CAPM in explaining realised returns and predicting one-period-ahead returns on individual stocks and (both equally- and value-weighted) portfolios of momentum, size and country sorts. The three-moment CAPM, the quadratic-marke model, provides the best ex post estimates in respect of the time-variation in returns on both the return winner and the smallest size portfolios. Further analysis using an orthogonal factor model for tackling multicollinearity confirms the findings. Parameter uncertainty, however, impinges on forecast accuracy and hence hampers the predictive ability of the higher-moment models.

Item Type:Article
Keywords:Asset pricing, Higher-moment CAPM, Return predictability.
Full text:Full text not available from this repository.
Publisher Web site:http://dx.doi.org/10.1111/j.1468-5957.2008.02102.x
Record Created:22 May 2009 15:20
Last Modified:25 Oct 2010 17:08

Social bookmarking: del.icio.usConnoteaBibSonomyCiteULikeFacebookTwitterExport: EndNote, Zotero | BibTex
Usage statisticsLook up in GoogleScholar | Find in a UK Library