Four-moment CAPM Model: Evidence from the Indian Stock Market
2019 ◽
Vol 18
(1_suppl)
◽
pp. S137-S166
Keyword(s):
This study aims at analysing the impact of co-skewness and co-kurtosis on the returns of the Indian stocks by incorporating co-skewness and co-kurtosis in the traditional capital asset pricing model (CAPM) of Sharpe, in a three-factor model of Fama and French and in a four-factor model of Carhart. The results of the study show that co-skewness and co-kurtosis have significant impact on the returns of the Indian stock. However, the impact of co-skewness is higher than co-kurtosis. JEL Classification: G11, G12
2017 ◽
Vol 4
(2)
◽
pp. 36
Keyword(s):
Keyword(s):
2018 ◽
Vol 14
(3)
◽
pp. 430
2005 ◽
Vol 1
(2)
◽
pp. 1-12
◽
Keyword(s):
Keyword(s):