Skewness preference, value and size effects

We test the Kraus-Litzenberger three-moment capital asset pricing model (CAPM) and the Fama-French (FF) three-factor (FF) model with the C-test proposed by Davidson and MacKinnon. We are unable to reject the null hypothesis that expected returns are described by either of the models in cross-sectional regressions. However, for size-sorted portfolios, both the FF three-factor and the three-moment CAPM significantly explain expected returns.

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Year of publication:	2008
Authors:	Mishra, Suchismita ; DeFusco, Richard ; Prakash, Arun
Published in:	Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 18.2008, 5, p. 379-386
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005485261