Comoment risk and stock returns
نویسندگان
چکیده
منابع مشابه
Comoment risk and stock returns
Article history: Received 27 June 2012 Received in revised form 26 June 2013 Accepted 2 July 2013 Available online 10 July 2013 We estimate investable comoment equity risk premiums for the US markets. The stock's contribution to the asymmetry and the fat tails of the market portfolio's payoff are priced into a coskewness premium and a cokurtosis premium. We construct zero-investment strategies ...
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ژورنال
عنوان ژورنال: Journal of Empirical Finance
سال: 2013
ISSN: 0927-5398
DOI: 10.1016/j.jempfin.2013.07.001