A conditional higher-moment CAPM
(2023)
Journal Article
Vendrame, V., Guermat, C., & Tucker, J. (2023). A conditional higher-moment CAPM. International Review of Financial Analysis, 86, 102524. https://doi.org/10.1016/j.irfa.2023.102524
This paper investigates whether dynamic and moment extensions to the traditional CAPM can improve its empirical performance and offer some alternative explanation to the cross-section of average returns on portfolios of stocks double sorted on book-t... Read More about A conditional higher-moment CAPM.