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引用次数: 1
摘要
本文采用Fama and Macbeth(1973)方法研究了1963年7月至2010年12月期间美国股票的共偏度和共峰度是否被定价。本文的结果表明，这些基于矩的变量被Fama和French(1992,1993)的三因素模型所包含。我们也在分析中加入了动量因素，但除了研究早期(1963年7月至1990年12月)外，几乎没有发现支持这一因素的证据。我们的研究结果重申了规模和账面市值比因素在美国股市中的重要性。
This paper investigates whether co-skewness and co-kurtosis are priced in US stocks over the period from July 1963 to December 2010, using the Fama and Macbeth (1973) method. The results in this paper suggest that these moment based variables are subsumed by the Fama and French (1992, 1993) three-factor model. We also include a momentum factor in our analysis but find little support for this factor except in the earlier part of our study period (July 1963 to December 1990). Our findings reaffirm the importance of size and book-to-market factors in the US stock market.
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