Journal
ECONOMICS LETTERS
Volume 125, Issue 2, Pages 219-222Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/j.econlet.2014.09.008
Keywords
Skewness; Kurtosis; Coskewness; Cokurtosis; Stochastic discount factor
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The coskewness cokurtosis pricing model is equivalent to absence of any positive-alpha return for which the residual risk has positive coskewness and negative cokurtosis with the market. This parallels the CAPM and also the fundamental theorem of asset pricing. (C) 2014 Elsevier B.V. All rights reserved.
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