Asset pricing with skewed-normal return

Benoıˆt Carmichael and Alain Coën

Finance Research Letters, 2013, vol. 10, issue 2, 50-57

Abstract: Despite the fact that it is easy to see intuitively why skewness and coskewness should matter for asset pricing, it is difficult to build a model that links analytically skewness premia to deep structural parameters governing preferences and the distribution of shocks. This paper takes up the challenge and studies the effect of skewness and coskewness on asset valuation. To reach this important goal, asset returns skewness is modeled with promising Azzalini’s [1985. Scandinavian Journal of Statistics 12, 171–178] skew-normal distribution. With this assumption, we are now able to derive explicit expressions of assets skewness premiums and to shed a new light on asset valuation.

Keywords: Asset pricing; Skewness; Coskewness; Skew-normal distribution (search for similar items in EconPapers)
JEL-codes: C12 C13 C16 C51 D46 D53 G12 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:10:y:2013:i:2:p:50-57

DOI: 10.1016/j.frl.2013.01.001

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