FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2012286601> ?p ?o ?g. }

• W2012286601 abstract "We propose a novel approach to testing non-linear stochastic discount factor (SDF) specifications that arise in rational representative investor models. Our approach does not require overly-restrictive assumptions about the shape of investors’ preferences, typically imposed by the extant literature, and is based instead on restrictions that rule out “good deals”, i.e. arbitrage opportunities as well as unduly large Sharpe ratios. We apply this framework to test the empirical admissibility of 3 and 4-moment versions of the CAPM. We find that, while coskewness and cokurtosis risk help price a number of stock strategies and portfolios, including static strategies based on a fine industry-level diversification, momentum strategies and portfolios managed on the basis of available information, the CAPM and its 3 and 4-moment versions cannot provide an exhaustive account of observed asset returns." @default.
• W2012286601 created "2016-06-24" @default.
• W2012286601 creator A5069209796 @default.
• W2012286601 creator A5086485139 @default.
• W2012286601 date "2009-01-01" @default.
• W2012286601 modified "2023-09-23" @default.
• W2012286601 title "The Coskewness Puzzle" @default.
• W2012286601 cites W1538895470 @default.
• W2012286601 cites W1963593775 @default.
• W2012286601 cites W1965024584 @default.
• W2012286601 cites W1979992555 @default.
• W2012286601 cites W1981812123 @default.
• W2012286601 cites W1985018066 @default.
• W2012286601 cites W1989285461 @default.
• W2012286601 cites W2010681793 @default.
• W2012286601 cites W2011043606 @default.
• W2012286601 cites W2019025561 @default.
• W2012286601 cites W2019729349 @default.
• W2012286601 cites W2021414249 @default.
• W2012286601 cites W2025611071 @default.
• W2012286601 cites W2028995298 @default.
• W2012286601 cites W2029056003 @default.
• W2012286601 cites W2039420625 @default.
• W2012286601 cites W2045449505 @default.
• W2012286601 cites W2054551268 @default.
• W2012286601 cites W2071461441 @default.
• W2012286601 cites W2077559812 @default.
• W2012286601 cites W2081590456 @default.
• W2012286601 cites W2082388610 @default.
• W2012286601 cites W2083148578 @default.
• W2012286601 cites W2093613276 @default.
• W2012286601 cites W2093911339 @default.
• W2012286601 cites W2110521063 @default.
• W2012286601 cites W2113270371 @default.
• W2012286601 cites W2117178635 @default.
• W2012286601 cites W2124601071 @default.
• W2012286601 cites W2125520394 @default.
• W2012286601 cites W2133469585 @default.
• W2012286601 cites W2135647799 @default.
• W2012286601 cites W2137296414 @default.
• W2012286601 cites W2170415678 @default.
• W2012286601 cites W3023906401 @default.
• W2012286601 cites W3122955062 @default.
• W2012286601 cites W3123188081 @default.
• W2012286601 cites W3123288201 @default.
• W2012286601 cites W3123691423 @default.
• W2012286601 cites W3124571982 @default.
• W2012286601 cites W3125055955 @default.
• W2012286601 cites W3125360998 @default.
• W2012286601 cites W3125590624 @default.
• W2012286601 cites W3125830177 @default.
• W2012286601 cites W3125851448 @default.
• W2012286601 doi "https://doi.org/10.2139/ssrn.821315" @default.
• W2012286601 hasPublicationYear "2009" @default.
• W2012286601 type Work @default.
• W2012286601 sameAs 2012286601 @default.
• W2012286601 citedByCount "6" @default.
• W2012286601 countsByYear W20122866012012 @default.
• W2012286601 countsByYear W20122866012014 @default.
• W2012286601 countsByYear W20122866012015 @default.
• W2012286601 crossrefType "journal-article" @default.
• W2012286601 hasAuthorship W2012286601A5069209796 @default.
• W2012286601 hasAuthorship W2012286601A5086485139 @default.
• W2012286601 hasConcept C106159729 @default.
• W2012286601 hasConcept C127413603 @default.
• W2012286601 hasConcept C139938925 @default.
• W2012286601 hasConcept C144133560 @default.
• W2012286601 hasConcept C144237770 @default.
• W2012286601 hasConcept C149782125 @default.
• W2012286601 hasConcept C160623529 @default.
• W2012286601 hasConcept C162118730 @default.
• W2012286601 hasConcept C162324750 @default.
• W2012286601 hasConcept C162853370 @default.
• W2012286601 hasConcept C178300618 @default.
• W2012286601 hasConcept C180916674 @default.
• W2012286601 hasConcept C181236170 @default.
• W2012286601 hasConcept C204036174 @default.
• W2012286601 hasConcept C2780821815 @default.
• W2012286601 hasConcept C33175817 @default.
• W2012286601 hasConcept C78458016 @default.
• W2012286601 hasConcept C78519656 @default.
• W2012286601 hasConcept C86803240 @default.
• W2012286601 hasConceptScore W2012286601C106159729 @default.
• W2012286601 hasConceptScore W2012286601C127413603 @default.
• W2012286601 hasConceptScore W2012286601C139938925 @default.
• W2012286601 hasConceptScore W2012286601C144133560 @default.
• W2012286601 hasConceptScore W2012286601C144237770 @default.
• W2012286601 hasConceptScore W2012286601C149782125 @default.
• W2012286601 hasConceptScore W2012286601C160623529 @default.
• W2012286601 hasConceptScore W2012286601C162118730 @default.
• W2012286601 hasConceptScore W2012286601C162324750 @default.
• W2012286601 hasConceptScore W2012286601C162853370 @default.
• W2012286601 hasConceptScore W2012286601C178300618 @default.
• W2012286601 hasConceptScore W2012286601C180916674 @default.
• W2012286601 hasConceptScore W2012286601C181236170 @default.
• W2012286601 hasConceptScore W2012286601C204036174 @default.
• W2012286601 hasConceptScore W2012286601C2780821815 @default.
• W2012286601 hasConceptScore W2012286601C33175817 @default.
• W2012286601 hasConceptScore W2012286601C78458016 @default.
• W2012286601 hasConceptScore W2012286601C78519656 @default.

• next