publication . Other literature type . 2014

The higher-moment CAPM and multi-factor models

Bergermayer, Thomas;
English
  • Published: 01 Jan 2014
  • Publisher: (:none)
Abstract
Since its introduction, the CAPM has been undergoing numerous attempts to increase the model's explanatory power and add additional significant factors, which play a role in describing the variation of financial assets' returns. Two of the most prominent model extensions are the four-factor model and the higher-moment CAPM. Both versions have increased the power of the model in previous studies. This thesis compares the value, size and momentum factors of the four-factor CAPM to the higher-moment CAPM, which includes the first four moments of the return distribution, variance, skewness and kurtosis. In addition to the analysis of the two approaches, two asset cl...
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http://dx.doi.org/10.25365/the...
Other literature type . 2014
Provider: Datacite
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