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Are Higher Co-Moments Priced? A Tale of Two Countries
Keith Lam; Liang Dong; Hung Wan Kot
2020
Source PublicationJournal of Financial Studies
ISSN2227-7072
Abstract

This study investigates the role of higher co-moments in explaining stock returns in the China and UK stock markets. In China, investors price only coskewness risk, while UK investors price both coskewness and cokurtosis risks. China investors use a two-year window period to evaluate coskewness risk, while UK investors utilize a five-year window period to evaluate. In addition, the significant coskewness risk premium in China is driven mainly by the sub-period after the split share structure reform. We argue that differences in market infrastructure and stage of development contribute to explaining the different higher co-moments pricing behavior in the two markets.

KeywordUk Stock Market Higher Co-moments Coskewness Cokurtosis China Stock Market
Language英语
Fulltext Access
Document TypeJournal article
CollectionFaculty of Business Administration
DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
AffiliationUniversity of Macau
First Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Keith Lam,Liang Dong,Hung Wan Kot. Are Higher Co-Moments Priced? A Tale of Two Countries[J]. Journal of Financial Studies,2020.
APA Keith Lam,Liang Dong,&Hung Wan Kot.(2020).Are Higher Co-Moments Priced? A Tale of Two Countries.Journal of Financial Studies.
MLA Keith Lam,et al."Are Higher Co-Moments Priced? A Tale of Two Countries".Journal of Financial Studies (2020).
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