The Practical Implications of a Spatially Bifurcated Four-Moment Capital Asset Pricing Model

James Ming Chen
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James Ming Chen: Michigan State University

Chapter Chapter 11 in Postmodern Portfolio Theory, 2016, pp 225-233 from Palgrave Macmillan

Abstract: Abstract Javier Estrada has argued that differences attributable to the bifurcation of beta on either side of mean returns, at least in emerging markets, are too substantial to ignore.1 We should likewise expect to find considerable differences in financial performance arising from the deployment of a four-moment CAPM, the proper specification of this augmented CAPM according to cross moments, and the bifurcation of coskewness and cokurtosis along the upside and downside of mean returns.

Keywords: Asset Price; Abnormal Return; Supra Note; Asset Price Model; Asset Class (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1057/978-1-137-54464-3_11

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