A characterization of the coskewness–cokurtosis pricing model

C-Tier
Journal: Economics Letters
Year: 2014
Volume: 125
Issue: 2
Pages: 219-222

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

The coskewness–cokurtosis pricing model is equivalent to absence of any positive-alpha return for which the residual risk has positive coskewness and negative cokurtosis with the market. This parallels the CAPM and also the fundamental theorem of asset pricing.

Technical Details

RePEc Handle
repec:eee:ecolet:v:125:y:2014:i:2:p:219-222
Journal Field
General
Author Count
1
Added to Database
2026-01-24