The explanatory power of higher moment capital asset pricing model in the Karachi stock exchange-Reference-Cited by-同舟云学术

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The explanatory power of higher moment capital asset pricing model in the Karachi stock exchange

Published:2016-01 Issue: Volume:36 Page:241-253
ISSN:0275-5319
Container-title:Research in International Business and Finance
language:en
Short-container-title:Research in International Business and Finance

Author:

Akbar Muhammad,Nguyen Thuy Thu

Publisher

Elsevier BV

Subject

Finance,Business, Management and Accounting (miscellaneous)

Reference30 articles.

1. Risk and the required return on equity;Arditti;J. Finance,1967

2. A capital asset pricing model with time varying covariances;Bollerslev;J. Polit. Econ.,1988

3. Coskewness and cokurtosis in futures markets;Christie-David;J. Empir. Finance,2001

4. Asset pricing when returns are nonnormal: Fama-French factors versus higher-order systematic co-moments;Chung;J. Bus.,2006

5. Risk Premium and Conditional Moments, Working Paper;Ergun,2010

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Conventional and downside CAPM with higher-order moments: Evidence from emerging markets;Equilibrium. Quarterly Journal of Economics and Economic Policy;2024-03-30

2. Do portfolio investors need to consider the asymmetry of returns on the Russian stock market?;The Journal of Economic Asymmetries;2020-06

3. AN ANALYSIS OF THE RELATIONSHIP BETWEEN THE SOVEREIGN CREDIT DEFAULT SWAPS AND THE STOCK MARKET OF PAKISTAN THROUGH HANDLING OUTLIERS;Proceedings of the 8th Economics & Finance Conference, London;2017

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