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Four-moment CAPM Model: Evidence from the Indian Stock Market

Dheeraj Misra, Sushma Vishnani and Ankit Mehrotra

Journal of Emerging Market Finance, 2019, vol. 18, issue 1_suppl, S137-S166

Abstract: This study aims at analysing the impact of co-skewness and co-kurtosis on the returns of the Indian stocks by incorporating co-skewness and co-kurtosis in the traditional capital asset pricing model (CAPM) of Sharpe, in a three-factor model of Fama and French and in a four-factor model of Carhart. The results of the study show that co-skewness and co-kurtosis have significant impact on the returns of the Indian stock. However, the impact of co-skewness is higher than co-kurtosis. JEL Classification: G11, G12

Keywords: Four-moment; co-skewness; co-kurtosis; momentum; SMB; HML (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:sae:emffin:v:18:y:2019:i:1_suppl:p:s137-s166

DOI: 10.1177/0972652719831564

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