Conditional effects of higher order co-moments in asset pricing: Evidence from Borsa Istanbul

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review Pub Date : 2024-11-01 DOI:10.1016/j.bir.2024.06.009

Erdinç Altay, Sümeyra Uzun, Büşra Aydemir Özgül

引用次数: 0

Abstract

This paper explores how systematic higher order moments (co-skewness and co-kurtosis) are priced in Borsa Istanbul. We tested the significance of higher order co-moments and analyzed their contribution to the standard capital asset pricing model and the Fama and French (2015) 5-factor model. We used a two-stage method to analyze the weekly returns of beta and size-sorted portfolios and individual stocks over the sample period from June 22, 2007 to November 15, 2023. We also used models conditional on market movements. The findings reveal that co-skewness has statistically significant effects on portfolio returns in Borsa Istanbul, especially in up markets. We also present the statistically significant effects of co-kurtosis on individual stock returns in both up and down markets.

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资产定价中高阶共常数的条件效应：伊斯坦布尔证券交易所的证据

本文探讨了伊斯坦布尔证券交易所如何对系统高阶矩（共斜度和共峰度）进行定价。我们测试了高阶共矩的重要性，并分析了它们对标准资本资产定价模型以及 Fama 和 French（2015 年）5 因子模型的贡献。我们采用两阶段法分析了 2007 年 6 月 22 日至 2023 年 11 月 15 日样本期间贝塔和规模排序投资组合和个股的周收益率。我们还使用了以市场变动为条件的模型。研究结果表明，在伊斯坦布尔证券交易所，共斜度对投资组合收益率有显著的统计影响，尤其是在上涨市场中。我们还提出了共峰度对上涨和下跌市场中个股回报率的显著统计影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Borsa Istanbul Review Multiple-

CiteScore

7.60

自引率

3.80%

发文量

130

审稿时长

26 days

期刊介绍： Peer Review under the responsibility of Borsa İstanbul Anonim Sirketi. Borsa İstanbul Review provides a scholarly platform for empirical financial studies including but not limited to financial markets and institutions, financial economics, investor behavior, financial centers and market structures, corporate finance, recent economic and financial trends. Micro and macro data applications and comparative studies are welcome. Country coverage includes advanced, emerging and developing economies. In particular, we would like to publish empirical papers with significant policy implications and encourage submissions in the following areas: Research Topics: • Investments and Portfolio Management • Behavioral Finance • Financial Markets and Institutions • Market Microstructure • Islamic Finance • Financial Risk Management • Valuation • Capital Markets Governance • Financial Regulations