Skewness preference, value and size effects
| Autor: | Richard A. DeFusco, Arun J. Prakash, Suchismita Mishra |
|---|---|
| Rok vydání: | 2008 |
| Předmět: |
Economics and Econometrics
Financial economics Consumption-based capital asset pricing model Generalized least squares Regression Moment (mathematics) Skewness Value (economics) Econometrics Arbitrage pricing theory Economics Capital asset pricing model Null hypothesis Preference (economics) Alternative asset Finance Mathematics |
| Zdroj: | Applied Financial Economics. 18:379-386 |
| ISSN: | 1466-4305 0960-3107 |
| DOI: | 10.1080/09603100600892855 |
| Popis: | Using the technique proposed by Davidson and MacKinnon for making the selection choice among alternative asset pricing models, we test the efficacy of Kraus and Litzenberger three moment Capital Asset Pricing Model and Fama-French three factor model over a time period from 1936 to 2002 and also for a shorter time period of 1970-2002. Following Davidson and MacKinnon we use the C-test to select between the Three Moment CAPM and FF three factor model. Using cross-sectional regression we are unable to reject the hypotheses that the expected returns are described by Fama-French three factor model and that the expected returns described by three moment CAPM. In fact, for size sorted portfolios, both the Fama and French three factor model and the three moment CAPM significantly explain the expected returns. The results we obtain contradict the results obtained by Chung, Johnson and Schill (2004) but support the findings of Harvey and Siddique (2000). Furthermore, using the generalized least squares procedure for individual equities as proposed by Litzenberger and Ramasamy we find no support for the three moment CAPM. However, the size and book-to-market factors seems to significantly explain individual asset returns. |
| Databáze: | OpenAIRE |
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