We propose an intertemporal asset pricing model incorporating both preference for higher-order moments and stochastic investment opportunities, extending traditional theories based on only mean and variance of asset returns. Our model encompasses a wide range of the existing models including the three-moment static CAPM. Using the U.S. stock market data, we provide empirical evidence that systematic skewness is negatively priced in the cross-section as predicted by the theory, indicating a risk-return-skewness trade-off. In addition, we show that extra return premium is required for accepting higher systematic risk associated with a rise in risk aversion. Our findings suggest that asset pricing anomalies such as value, momentum, idiosyncratic volatility, and failure probability effects can be partially explained by our model.
Keywords: Skewness; intertemporal asset pricing; risk aversion; prudence; anomalies
JEL classification: G12
자료실
자료실
[2014년 제 4차] An Intertemporal CAPM with Higher-Order Moments
작성자 : 관리자
조회수 : 833
게시일 :
2014-12-12