FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2286171857> ?p ?o ?g. }

• W2286171857 endingPage "85" @default.
• W2286171857 startingPage "78" @default.
• W2286171857 abstract "There is ample evidence that stock returns exhibit non-normal distributions with high skewness and excess kurtosis. Experimental evidence has shown that investors like positive skewness, dislike extreme losses and show high levels of prudence. This has motivated the introduction of the four-moment capital asset pricing model (CAPM). This extension, however, has not been able to successfully explain average returns. Our paper argues that a number of pitfalls may have contributed to the weak and conflicting empirical results found in the literature. We investigate whether conditional models, whether models that use individual stocks rather than portfolios and whether models that extend both the moment and factor dimension can improve on more traditional static, portfolio-based, mean–variance models. More importantly, we find that the use of a scaled coskewness measure in cross-section regression is likely to be spurious because of the possibility for the market skewness to be close to zero, at least for some periods. We provide a simple solution to this problem." @default.
• W2286171857 created "2016-06-24" @default.
• W2286171857 creator A5029068329 @default.
• W2286171857 creator A5040080231 @default.
• W2286171857 creator A5073919201 @default.
• W2286171857 date "2016-03-01" @default.
• W2286171857 modified "2023-09-30" @default.
• W2286171857 title "Some extensions of the CAPM for individual assets" @default.
• W2286171857 cites W1981812123 @default.
• W2286171857 cites W1992700566 @default.
• W2286171857 cites W1995834279 @default.
• W2286171857 cites W2012637053 @default.
• W2286171857 cites W2018754152 @default.
• W2286171857 cites W2019713892 @default.
• W2286171857 cites W2024792596 @default.
• W2286171857 cites W2051580823 @default.
• W2286171857 cites W2066312446 @default.
• W2286171857 cites W2082388610 @default.
• W2286171857 cites W2093911339 @default.
• W2286171857 cites W2100112097 @default.
• W2286171857 cites W2104795328 @default.
• W2286171857 cites W2104964789 @default.
• W2286171857 cites W2110521063 @default.
• W2286171857 cites W2116347131 @default.
• W2286171857 cites W2124601071 @default.
• W2286171857 cites W2136120210 @default.
• W2286171857 cites W2160683585 @default.
• W2286171857 cites W2166215547 @default.
• W2286171857 cites W2170415678 @default.
• W2286171857 cites W2173913116 @default.
• W2286171857 cites W2264374087 @default.
• W2286171857 cites W3011865677 @default.
• W2286171857 cites W3122607546 @default.
• W2286171857 cites W3122890786 @default.
• W2286171857 cites W3123178375 @default.
• W2286171857 cites W3123436100 @default.
• W2286171857 cites W3123957507 @default.
• W2286171857 cites W3124572217 @default.
• W2286171857 cites W3125376494 @default.
• W2286171857 cites W3125717248 @default.
• W2286171857 cites W3125830177 @default.
• W2286171857 cites W3216651525 @default.
• W2286171857 cites W4385795614 @default.
• W2286171857 doi "https://doi.org/10.1016/j.irfa.2016.01.010" @default.
• W2286171857 hasPublicationYear "2016" @default.
• W2286171857 type Work @default.
• W2286171857 sameAs 2286171857 @default.
• W2286171857 citedByCount "11" @default.
• W2286171857 countsByYear W22861718572016 @default.
• W2286171857 countsByYear W22861718572018 @default.
• W2286171857 countsByYear W22861718572019 @default.
• W2286171857 countsByYear W22861718572020 @default.
• W2286171857 countsByYear W22861718572021 @default.
• W2286171857 countsByYear W22861718572022 @default.
• W2286171857 countsByYear W22861718572023 @default.
• W2286171857 crossrefType "journal-article" @default.
• W2286171857 hasAuthorship W2286171857A5029068329 @default.
• W2286171857 hasAuthorship W2286171857A5040080231 @default.
• W2286171857 hasAuthorship W2286171857A5073919201 @default.
• W2286171857 hasBestOaLocation W22861718572 @default.
• W2286171857 hasConcept C105795698 @default.
• W2286171857 hasConcept C106159729 @default.
• W2286171857 hasConcept C122342681 @default.
• W2286171857 hasConcept C149782125 @default.
• W2286171857 hasConcept C162324750 @default.
• W2286171857 hasConcept C181236170 @default.
• W2286171857 hasConcept C2777302077 @default.
• W2286171857 hasConcept C2780821815 @default.
• W2286171857 hasConcept C33923547 @default.
• W2286171857 hasConcept C97256817 @default.
• W2286171857 hasConceptScore W2286171857C105795698 @default.
• W2286171857 hasConceptScore W2286171857C106159729 @default.
• W2286171857 hasConceptScore W2286171857C122342681 @default.
• W2286171857 hasConceptScore W2286171857C149782125 @default.
• W2286171857 hasConceptScore W2286171857C162324750 @default.
• W2286171857 hasConceptScore W2286171857C181236170 @default.
• W2286171857 hasConceptScore W2286171857C2777302077 @default.
• W2286171857 hasConceptScore W2286171857C2780821815 @default.
• W2286171857 hasConceptScore W2286171857C33923547 @default.
• W2286171857 hasConceptScore W2286171857C97256817 @default.
• W2286171857 hasLocation W22861718571 @default.
• W2286171857 hasLocation W22861718572 @default.
• W2286171857 hasOpenAccess W2286171857 @default.
• W2286171857 hasPrimaryLocation W22861718571 @default.
• W2286171857 hasRelatedWork W147291312 @default.
• W2286171857 hasRelatedWork W2017808917 @default.
• W2286171857 hasRelatedWork W2097044615 @default.
• W2286171857 hasRelatedWork W2130830554 @default.
• W2286171857 hasRelatedWork W2157104034 @default.
• W2286171857 hasRelatedWork W2286171857 @default.
• W2286171857 hasRelatedWork W2358375399 @default.
• W2286171857 hasRelatedWork W2493131244 @default.
• W2286171857 hasRelatedWork W2621165087 @default.
• W2286171857 hasRelatedWork W3160869781 @default.
• W2286171857 hasVolume "44" @default.
• W2286171857 isParatext "false" @default.
• W2286171857 isRetracted "false" @default.
• W2286171857 magId "2286171857" @default.

• next