Higher-order comoments and asset returns: evidence from emerging equity markets

Xuan Vinh Vo and Thi Tuan Anh Tran ()
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Thi Tuan Anh Tran: University of Economics Ho Chi Minh City

Annals of Operations Research, 2021, vol. 297, issue 1, No 15, 323-340

Abstract: Abstract This article examines the role of co-skewness and co-kurtosis in explaining portfolio excess returns utilizing time-series and Fama–Macbeth cross-sectional regression methods in the context of an emerging market. The sample consists of listed firms in Vietnam stock market covering the period from September 2011 to December 2016. This paper reports that co-skewness and co-kurtosis are not important in explaining stock returns in Vietnam stock market. More importantly, we find that market risk premium is the most important factor while other popular factors such as SMB, HML and UMD have minor impact on stock returns. This finding is crucial in identifying factors significantly influencing stock returns in emerging equity markets. This paper also supports the proposition that findings from advanced markets might not be able to generalize into the context of emerging markets. The finding has direct implications for portfolio analysis and risk management.

Keywords: High order co-moments; Co-skewness premium; Co-kurtosis premium; Five-factor models; Emerging stock markets (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s10479-020-03549-0

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