Four-moment CAPM Model: Evidence from the Indian Stock Market

IF 1.2 Q3 BUSINESS, FINANCE

Journal of Emerging Market Finance Pub Date : 2019-04-09 DOI:10.1177/0972652719831564

Dheeraj Misra, Sushma Vishnani, Ankit Mehrotra

引用次数: 1

Abstract

This study aims at analysing the impact of co-skewness and co-kurtosis on the returns of the Indian stocks by incorporating co-skewness and co-kurtosis in the traditional capital asset pricing model (CAPM) of Sharpe, in a three-factor model of Fama and French and in a four-factor model of Carhart. The results of the study show that co-skewness and co-kurtosis have significant impact on the returns of the Indian stock. However, the impact of co-skewness is higher than co-kurtosis. JEL Classification: G11, G12

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四时刻CAPM模型:来自印度股市的证据

本研究旨在通过在Sharpe的传统资本资产定价模型（CAPM）、Fama和French的三因素模型以及Carhart的四因素模型中引入协偏和协峰度，分析协偏和共峰度对印度股票收益的影响。研究结果表明，共偏度和共峰度对印度股票的收益率有显著影响。然而，共偏度的影响高于共峰度。JEL分类：G11、G12

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

Journal of Emerging Market Finance BUSINESS, FINANCE-

CiteScore

1.80

自引率

33.30%

发文量

期刊介绍： The Journal of Emerging Market Finance is a forum for debate and discussion on the theory and practice of finance in emerging markets. While the emphasis is on articles that are of practical significance, the journal also covers theoretical and conceptual aspects relating to emerging financial markets. Peer-reviewed, the journal is equally useful to practitioners and to banking and investment companies as to scholars.