A New Test of the Three Moment Capital Asset Pricing Model

A New Test of the Three Moment Capital Asset Pricing Model

In the 3-moment capital asset pricing model constructed by Kraus and Litzenberger (1976), systematic skewness contributes to the risk premium of an asset. Earlier tests of the Kraus-Litzenberger (K-L) model relied either on cross-sectional regressions or on the assumptions of multivariate normality....

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書目詳細資料
主要作者:	Lim, Kian Guan
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 1989
主題:	Business
在線閱讀:	https://ink.library.smu.edu.sg/lkcsb_research/2242 https://proquest.umi.com/pqdweb?did=581239&sid=2&Fmt=2&clientId=44274&RQT=309&VName=PQD
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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