A characterization of the coskewness–cokurtosis pricing model

Kerry Back

Economics Letters, 2014, vol. 125, issue 2, 219-222

Abstract: The coskewness–cokurtosis pricing model is equivalent to absence of any positive-alpha return for which the residual risk has positive coskewness and negative cokurtosis with the market. This parallels the CAPM and also the fundamental theorem of asset pricing.

Keywords: Skewness; Kurtosis; Coskewness; Cokurtosis; Stochastic discount factor (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:125:y:2014:i:2:p:219-222

DOI: 10.1016/j.econlet.2014.09.008

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