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- W2100112097 abstract "This paper tests the Kraus-Litzenberger (1976) three-moment capital asset pricing model using Hansen's (1982) generalized method-of-moments (GMM). The GMM approach does not impose strong distributional assumptions on the asset returns. This is an interest? ing issue since there is no obvious multivariate distribution for returns that also exhibits co-skewness. Using monthly stock returns to test the model, there is some evidence that systematic skewness is priced." @default.
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- W2100112097 date "1989-06-01" @default.
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- W2100112097 title "A New Test of the Three-Moment Capital Asset Pricing Model" @default.
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- W2100112097 doi "https://doi.org/10.2307/2330772" @default.
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