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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

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Type
Communication / Conférence
Date
2005
Conference title
32nd Annual Conference of the Northeast Business & Economics Association
Conference date
2005-10
Conference city
Newport
Conference country
Etats-Unis
Pages
50
Metadata
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Author(s)
Lajili, Souad
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 / Keywords
Market; Asset pricing; Higher moments; Three factor Model; Stock returns
JEL
G12 - Asset Pricing; Trading Volume; Bond Interest Rates

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