Skewness preference, value and size effects

Suchismita Mishra, Richard DeFusco and Arun J. Prakash ()

Applied Financial Economics, 2008, vol. 18, issue 5, pages 379-386

Abstract: 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.

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