Earticle

초록

영어

We propose an intertemporal asset pricing model that incorporates both preference for higherorder moments and stochastic investment opportunities, extending traditional theories based exclusively on mean and variance of asset returns. Our model encompasses a wide range of existing models, including the three-moment static CAPM. We also provide empirical evidence to support our theory that systematic skewness is negatively priced in the crosssection of U.S. stock returns, indicating a risk-return-skewness trade-off. In addition, we show that an extra return premium is required for accepting the higher systematic risk associated with a rise in risk aversion. Our findings suggest that asset pricing anomalies such as value, momentum, and failure probability puzzles can be partially explained by our model.

목차

Abstract
 Abstract
 1. Introduction
 2. Theoretical Model
  2.1 Derivation of a Four-Moment Intertemporal CAPM
  2.2 Interpretation with Mean-Variance-Skewness-Kurtosis Approximation
 3. Empirical Results
  3.1 Data and Methodology
  3.2 Co-moment Premiums
  3.3 Cross-Sectional Regressions
 4. Implications
  4.1 Intertemporal Relation of Expected Returns, Risk, and Skewness
  4.2 Co-moment Dispersion and Cross-Sectional Anomalies
 5. Conclusion
 Appendix
 References

키워드

저자

• Jeewon Jang [ College of Business, Korea Advanced Institute of Science and Technology (KAIST) ] Corresponding author
• Jangkoo Kang [ College of Business, Korea Advanced Institute of Science and Technology (KAIST), Seoul, Korea ]

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간행물

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• 간행물명

  한국재무학회 학술대회

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  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330