A Four-Moment Capital Asset Pricing Model

James Ming Chen
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James Ming Chen: Michigan State University

Chapter Chapter 10 in Postmodern Portfolio Theory, 2016, pp 189-224 from Palgrave Macmillan

Abstract: Abstract Having completed our interlude on time series methodology and the theoretical insights of time series modeling of asymmetric volatility, I now return to a strictly spatial topic left open by Part 2 of this book and not completely answered by the first chapters in Part 3. In this chapter and the next, I will use the behavior of single-sided beta to extrapolate a logical progression from the conventional two-moment specification of the CAPM to a four-moment CAPM.

Keywords: Stock Return; Asset Price; Risk Measure; Supra Note; Systematic Risk (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:pal:qpochp:978-1-137-54464-3_10

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DOI: 10.1057/978-1-137-54464-3_10

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