A Robust Conditional Realized Extended 4-CAPM

Higher‐order moments and asset pricing in the Australian stock market

“…Accounting for additional measures of risk has no directional or significant effect on gamma investment. This is consistent with Hurlin et al (2009), who showed the predictive power of gamma in the presence of standard beta.…”

“…Hurlin et al (2009) investigate realised higher‐order co‐moment risk‐return relationship by employing a 5‐min (high‐frequency) return series for 43 French stocks, the authors estimate the realised moments for a 1‐month holding‐period. For their analysis, they focus on extending the standard CAPM model by incorporating realised co‐skewness risk measures.…”

“…Ahadzie and Jeyasreedharan (2020a) also show that high-frequency pricing models using higherorder moments will be conditional on the chosen sampling interval and holding interval. This implies that our high-frequency higher-order moment results can only be compared with Hurlin et al (2009), who investigate the higher-order co-moment risk-return relationship by using high-frequency return data. However, their result only focuses on the premium for gamma risk and does not take into account the premium for kappa risk measure.…”

Distributional asymmetry of loadings on market co-moments

“…Further supporting empirical evidence for higher co-moments are found in Vanden (2006) and Chang et al (2009). A strong result for coskewness is presented by Hurlin et al (2009). Using high frequency data and a "realized"-moment measuring approach they conclude that additional variables representing the portfolio characteristic has no explanatory power for expected excess returns if the coskewness component is accounted for.…”

“…Chunhachinda et al, 1997;Harvey and Siddique, 2000;Chiao et al, 2003;Galagedera et al, 2003;Hung et al, 2004;Carvalhal da Silva, 2005;Mauleón, 2006;Guidolin and Timmermann, 2008;Post et al, 2008;Hurlin et al, 2009;You and Daigler, 2010).…”