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Asset Pricing, Higher Moments, and the Market Risk Premium: A Note

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References

1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
1973The Fundamental Theorem of Parameter-Preference Security Valuation447 cited
1980Co-Skewness and Capital Asset Pricing271 cited

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2005Time-Varying Conditional Skewness and the Market Risk Premium87 cited
2001Asset Pricing When Returns are Nonnormal: Fama-French Factors vs. Higher-Order Systematic Co-Moments86 cited
2013Do jumps contribute to the dynamics of the equity premium?69 cited
1989SKEWNESS AND KURTOSIS IN JAPANESE EQUITY RETURNS: EMPIRICAL EVIDENCE64 cited
2006Option Coskewness and Capital Asset Pricing59 cited
1988THE STRUCTURE OF SKEWNESS PREFERENCES IN ASSET PRICING MODELS WITH HIGHER MOMENTS: AN EMPIRICAL TEST55 cited
1987The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement--A Comment53 cited
2013Book-to-Market Ratio and Skewness of Stock Returns49 cited
2018Conditional co-skewness and safe-haven currencies: A regime switching approach41 cited
2003A Study into Certain Aspects of the Cost of Capital for Regulated Utilities in the U.K.40 cited
2004Optimal Portfolio Allocation Under Higher Moments37 cited
2015

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Do the Distributional Characteristics of Corporate Bonds Predict Their Future Returns?

36 cited

1992The role of co-skewness in the pricing of real estate33 cited

2019Skewness risk premium: Theory and empirical evidence32 cited

2007A review of capital asset pricing models30 cited

2011A Higher Moment Downside Framework for Conditional and Unconditional Capm in the Russian Stock Market28 cited