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Please use this identifier to cite or link to this item: http://hdl.handle.net/1843/41698
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dc.creatorCarolina Magda Silva Romapt_BR
dc.creatorIvika Jägerpt_BR
dc.creatorRobert Aldo Iquiapazapt_BR
dc.creatorAureliano Angel Bressanpt_BR
dc.date.accessioned2022-05-16T13:26:46Z-
dc.date.available2022-05-16T13:26:46Z-
dc.date.issued2016-
dc.citation.issue16 Encontro Brasileiro de Finanças - 2016pt_BR
dc.identifier.urihttp://hdl.handle.net/1843/41698-
dc.description.resumoThe 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.pt_BR
dc.languageengpt_BR
dc.publisherUniversidade Federal de Minas Geraispt_BR
dc.publisher.countryBrasilpt_BR
dc.publisher.departmentFCE - DEPARTAMENTO DE CIÊNCIAS ADMINISTRATIVASpt_BR
dc.publisher.initialsUFMGpt_BR
dc.relation.ispartofAnais do 16º EBFINpt_BR
dc.rightsAcesso Abertopt_BR
dc.subjectHigher co-momentspt_BR
dc.subjectCarhart modelpt_BR
dc.subjectFama-MacBeth regressionpt_BR
dc.subjectFactorspt_BR
dc.subjectCAPMpt_BR
dc.subject4-moment CAPMpt_BR
dc.subject.otherBolsa de valorespt_BR
dc.titlePricing the higher order co-moments in the brazilian stock marketpt_BR
dc.typeArtigo de Eventopt_BR
dc.url.externahttps://sbfin.org.br/pt_BR
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