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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| 語言: | English |
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Institutional Knowledge at Singapore Management University
1989
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| 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 |
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