TY - UNPB
T1 - Are Co-Skewness and Co-Kurtosis Factors Priced?
T2 - 24th Australasian Finance and Banking Conference 2011 Paper
AU - Heaney, Richard
AU - Lan, Yihui
AU - Treepongkaruna, Sirimon
PY - 2011/8/27
Y1 - 2011/8/27
N2 - This paper investigates whether co-skewness and co-kurtosis are priced in US stocks over the period from July 1963 to December 2010, using the Fama and Macbeth (1973) method. The results in this paper suggest that these moment based variables are subsumed by the Fama and French (1992, 1993) three-factor model. We also include a momentum factor in our analysis but find little support for this factor except in the earlier part of our study period (July 1963 to December 1990). Our findings reaffirm the importance of size and book-to-market factors in the US stock market.
AB - This paper investigates whether co-skewness and co-kurtosis are priced in US stocks over the period from July 1963 to December 2010, using the Fama and Macbeth (1973) method. The results in this paper suggest that these moment based variables are subsumed by the Fama and French (1992, 1993) three-factor model. We also include a momentum factor in our analysis but find little support for this factor except in the earlier part of our study period (July 1963 to December 1990). Our findings reaffirm the importance of size and book-to-market factors in the US stock market.
U2 - 10.2139/ssrn.1917084
DO - 10.2139/ssrn.1917084
M3 - Preprint
BT - Are Co-Skewness and Co-Kurtosis Factors Priced?
PB - SSRN
CY - USA
ER -