Essays about: "Coskewness"

Found 3 essays containing the word Coskewness.

1. 1. ASSET PRICING WITH HIGHER COMOMENTS

   University essay from Lunds universitet/Företagsekonomiska institutionen

   Author : Laith Hirzallah; Edin Filipovic; [2015]
   Keywords : Business and Economics;

   Abstract : Empirical and theoretical research has for some time argued that investors also expect rewards for bearing risk related to higher moments. This thesis examines if inclusion of coskewness and cokurtosis helps to explain the variation in asset returns. READ MORE

3. 2. Tracking Down Skewness: What Role does Fundamental Risk Play? Evidence from Swedish Equities 1994-2013

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Fjodor Krainikov; Jan-Hendrik Mohr; [2014]
   Keywords : Skewness; Coskewness; Leverage; Risk; Swedish stock market;

   Abstract : Our thesis sheds light on the research gap of what makes a firm's stock return skewed. We conduct a broad and explorative study in the Swedish equity market from 1994-2013 to find possible relations between different fundamental risk measures and two particular skewness indicators. READ MORE

4. 3. Momentum Profits and Return Persistence on the Swedish Stock Market

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Daniel Hagwall; Johan Lundén; [2008]
   Keywords : Momentum Strategies; Return Persistence; Fama-French; Skewness;

   Abstract : Within the field of momentum effects, this paper investigates whether a zero-investment strategy, where a short position in a portfolio of previously bad performing stocks finance a long position in a portfolio of past well performing stocks, generate positive returns in the period 1987 to 2008. The primary focus is to examine whether it is possible to earn abnormal returns from such a strategy and if these returns can be explained by various types of risk measures. READ MORE