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Size and book to market effects vs co-skweness and co-kurtosis in explaining stock returns

dc.contributor.authorLajili, Souad
HAL ID: 743949
dc.date.accessioned2009-10-08T09:17:42Z
dc.date.available2009-10-08T09:17:42Z
dc.date.issued2005
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/2167
dc.language.isoenen
dc.subjectMarketen
dc.subjectAsset pricingen
dc.subjectHigher momentsen
dc.subjectThree factor Modelen
dc.subjectStock returnsen
dc.subject.ddc332en
dc.subject.classificationjelG12en
dc.titleSize and book to market effects vs co-skweness and co-kurtosis in explaining stock returnsen
dc.typeCommunication / Conférence
dc.description.abstractenIn 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.en
dc.identifier.citationpages50en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitle32nd Annual Conference of the Northeast Business & Economics Association
dc.relation.confdate2005-10
dc.relation.confcityNewport
dc.relation.confcountryEtats-Unis


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