Iqbal, Javed and Brooks, Robert and Galagedera, Don UA (2007): Testing Asset Pricing Models in Emerging Markets: An Examination of Higher Order Co-Moments and Alternative Factor Models. Published in: Proceedings 12 Doctoral Reseach Conference, Faculty of Business and Economics Monash University , Vol. 12, (October 2007): pp. 109-120.
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Abstract
For emerging market returns there is strong evidence that the departure from normality is primarily driven by kurtosis and not skewness. This paper investigates the empirical validity of a return generating process that includes quadratic and cubic market returns as factors of pricing for an emerging market. Following Barone-Adesi et al. (2004) a multivariate test of a three-moment pricing model is developed. The empirical evidence in the market returns support the stylized facts typical for an emerging market and reveal that any return generating process that includes only a quadratic term (coskewness) may be misspecified. However comparison of higher order market return factors with Fama French factors indicates that while risk exposure to these higher order co-moments factors especially cokurtosis is important the co-moments do not possess sufficient explanatory power to render Fama French factor redundant.
Item Type: | MPRA Paper |
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Original Title: | Testing Asset Pricing Models in Emerging Markets: An Examination of Higher Order Co-Moments and Alternative Factor Models |
English Title: | Testing Asset Pricing Models in Emerging Markets: An Examination of Higher Order Co-Moments and Alternative Factor Models |
Language: | English |
Keywords: | Higher Order Co-Moments, Asset Pricing, Emerging Markets |
Subjects: | G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets |
Item ID: | 25020 |
Depositing User: | Javed Iqbal |
Date Deposited: | 15 Sep 2010 11:58 |
Last Modified: | 02 Oct 2019 15:52 |
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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/25020 |