ARE DOWNSIDE HIGHER ORDER CO-MOMENTS PRICED?: EVIDENCE FROM THE FRENCH MARKET

Houda Hafsa and Dorra Hmaied

The International Journal of Business and Finance Research, 2012, vol. 6, issue 1, 65-81

Abstract: This study examines the role of downside higher order co-moments in asset pricing models when stock returns are not normal. We test the effect of higher order downside co-moments using a data set of daily returns of Société des Bourses Françaises 250 Index stocks during the period 1987-2009. The results suggest that the downside Beta and higher order co-moments in the downside framework should be considered together when returns are non normal and that they out-perform the traditional beta.

Keywords: downside Beta; downside higher order co-moments; CAPM; French stock market. (search for similar items in EconPapers)
JEL-codes: C21 G12 G15 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ibf:ijbfre:v:6:y:2012:i:1:p:65-81

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