The market coskewness puzzle has occupied the empirical asset pricing research since the third-moment asset pricing model was introduced by Kraus and Litzenberger (1976) and Friend and Westerfield (1980). Using the Fama-French 49 US industry portfolios this paper empirically shows that the...

This paper derives the matrix-variate distribution of an arbitrary non-singular linear transformation of Studentized multivariate observations. The joint distributions of the major commonly utilized Studentized versions of (multivariate) regression residuals are obtained as special cases of the...