The paper investigates the importance of higher moments in explaining the variation of stock
returns in both Australian and the U.S markets. We find that higher moments do exist in the U.S and
Australian stocks and they help explain a different dimension of risk in capturing the variation of
expected stock returns that conventional market premium, Fama and French factors and momentum
fail to account for. This study analyses the effects of size and book-to-market value to the existence
of higher moments in both markets respectively. Size has a significant impact on higher moments of
Australian stocks than of U.S stocks. On the other hand, the effect of book to market values is
inconclusive in both markets. Furthermore, we find evidence that the Australian stocks are more
sensitive to the risk of higher moments than the U.S stocks.
학술대회/행사
학술대회안내
[2008년 제 4차] ASSET PRICING WITH HIGHER MOMENTS: EVIDENCE FROM AU
작성자 : 관리자
조회수 : 1083
게시일 :
2008-12-11