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Return Predictability of Higher-Moment CAPM Market Models

โœ Scribed by Chi-Hsiou Hung


Book ID
111105939
Publisher
John Wiley and Sons
Year
2008
Tongue
English
Weight
178 KB
Volume
35
Category
Article
ISSN
0306-686X

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The purpose of this paper is to assess the incremental value of higher moments in modelling capital asset pricing models (CAPMs) of emerging markets. Whilst it is recognized that emerging markets are unlikely to yield sensible results in a mean-variance world, the high skewness and kurtosis present