Please use this identifier to cite or link to this item:
http://hdl.handle.net/1843/41698| Type: | Artigo de Evento |
| Title: | Pricing the higher order co-moments in the brazilian stock market |
| Authors: | Carolina Magda Silva Roma Ivika Jäger Robert Aldo Iquiapaza Aureliano Angel Bressan |
| Abstract: | The aim of this article is to investigate whether assets’ co-skewness and co-kurtosis with the market are priced on the Brazilian stock market. The Fama-MacBeth (1973) regression method is used to empirically test the pricing of the higher order co-moments on a crosssection of portfolio returns. The analysis further expands the model by including the size and value factors proposed by Fama and French (1993) and the momentum factor introduced by Carhart (1997). The time series results taking into account the the higher co-moments along with the four-factor variables point out that co-skewness and co-kurtosis capture some variance in the asset returns beyond the size, value and momentum factors. Moreover, the cross-sectional estimation results give partial support for co-skewness being priced in the Brazilian stock market, but only in case the model controls for the size, value and momentum factors. Moreover, the cross-sectional estimation results give partial support for co-skewness being priced in the Brazilian stock market. Controlling for up and down markets turns out to be important and results in strong support for beta pricing while also providing partial evidence of existing premia for co-skewness and co-kurtosis. |
| Subject: | Bolsa de valores |
| language: | eng |
| metadata.dc.publisher.country: | Brasil |
| Publisher: | Universidade Federal de Minas Gerais |
| Publisher Initials: | UFMG |
| metadata.dc.publisher.department: | FCE - DEPARTAMENTO DE CIÊNCIAS ADMINISTRATIVAS |
| Rights: | Acesso Aberto |
| URI: | http://hdl.handle.net/1843/41698 |
| Issue Date: | 2016 |
| metadata.dc.url.externa: | https://sbfin.org.br/ |
| metadata.dc.relation.ispartof: | Anais do 16º EBFIN |
| Appears in Collections: | Artigo de Evento |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 125-PRICING-THE-HIGHER-ORDER-CO-MOMENTS-IN-THE-BRAZILIAN-STOCK-MARKET.pdf | 755.32 kB | Adobe PDF | View/Open |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.