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• W1998047019 abstract "We examine whether systematic higher moments capture beta asymmetry in an asset pricing model whereby the conditional beta of a risky asset increases (decreases) during a bear (bull) market state. We first provide a simple conceptual outline from the microeconomic literature to show that beta asymmetry is driven by time-varying higher-order risk preferences (prudence and temperance) across different market states. We then empirically relate these higher-order risk preferences to systematic skewness and systematic kurtosis. We find that beta asymmetry in Australian stock returns cannot be explained by Carhart (1997) 4-factor model but is subsumed by systematic higher moments." @default.
• W1998047019 created "2016-06-24" @default.
• W1998047019 creator A5053850302 @default.
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• W1998047019 date "2013-05-17" @default.
• W1998047019 modified "2023-10-05" @default.
• W1998047019 title "Higher moments and beta asymmetry: evidence from Australia" @default.
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• W1998047019 doi "https://doi.org/10.1111/acfi.12022" @default.
• W1998047019 hasPublicationYear "2013" @default.
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