Skewness preference, value and size effects

• Autores: Suchismita Mishra, Richard A. DeFusco, Arun J. Prakash
• Localización: Applied financial economics, ISSN 0960-3107, Vol. 18, Nº. 4-6, 2008, págs. 379-386
• Idioma: inglés
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• Resumen

  • We test the Kraus-Litzenberger three-moment capital asset pricing model (CAPM) and the Fama-French (FF) three-factor (FF) model with the C-test proposed by Davidson and MacKinnon. We are unable to reject the null hypothesis that expected returns are described by either of the models in cross-sectional regressions. However, for size-sorted portfolios, both the FF three-factor and the three-moment CAPM significantly explain expected returns.