Size and book to market effects vs co-skweness and co-kurtosis in explaining stock returns
Lajili, Souad (2005), Size and book to market effects vs co-skweness and co-kurtosis in explaining stock returns, 32nd Annual Conference of the Northeast Business & Economics Association, 2005-10, Newport, Etats-Unis
TypeCommunication / Conférence
Conference title32nd Annual Conference of the Northeast Business & Economics Association
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Abstract (EN)In this study, we test the size and the book to market effects in explaining stock returns with co-skewness and co-kurtosis on the French Stock Market over July 1976 to June 2001 period. Results of time series regressions of monthly portfolio returns are consistent with the Fama and French (1993) conclusions and inconsistent with the Harvey and Siddique (1999) proposition. Moreover, we obtain an interesting result about the relation between the size classification and the two co-moments of skewness and kurtosis. Co-skewness seems to be more significant in explaining stock returns of big capitalizations and co-kurtosis is more related to small capitalizations in the French case. However, co-skewness and co-kurtosis don't subsume the SMB and HML factors.
Subjects / KeywordsMarket; Asset pricing; Higher moments; Three factor Model; Stock returns
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