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- W2071991423 abstract "Abstract This paper re-examines the importance of co-skewness in asset pricing using the multivariate testing procedure proposed by Gibbons (1982). This new approach allows for the testing of a share restriction derived from the Kraus and Litzenberger (1976) model which has been ignored in previous empirical studies. The results indicate that co-skewness is statistically significant in pricing risky assets and that the covariance risk is much more important in explaining the risk-return relationship than the co-skewness risk. However, the results also indicate that the Kraus and Litzenberger model does not adequately describe expected returns." @default.
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- W2071991423 date "1996-12-01" @default.
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- W2071991423 title "A multivariate test of the covariance-co-skewness restriction for the three moment CAPM" @default.
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- W2071991423 doi "https://doi.org/10.1016/s0148-6195(96)00038-0" @default.
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