Does conditional market skewness resolve the puzzling market risk-return relationship?

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• 作者：Omrane Guedhami and Oumar Sy
• 关键词：Asset pricing ; CAPM ; ICAPM ; Conditional skewness
• 刊名：The Quarterly Review of Economics and Finance
• 出版年：2005
• 出版时间：2005
• 年：2005
• 卷：45
• 期：4-5
• 页码：582-598
• 全文大小：304 K

文摘

In this paper, we employ instrumental variables methods that allow time-varying risk and reward-to-risk to test various conditional asset pricing models. We find a negative partial relation between the market excess return and conditional market variance. In contrast with recent findings, we show that this negative relationship is not due to the omission of the hedge term associated with the ICAPM. However, conditional market skewness seems to partly account for this negative risk-return relationship.