Conditional relation between return and co-moments – an empirical study for emerging Indian stock market

Conditional relation between return and co-moments – an empirical study for emerging Indian stock market

Due to many theoretical and practical shortcomings of the traditional CAPM model, this study aims at analyzing the CAPM with possible extensions. The analysis aims to know the empirical soundness of Conditional Higher Moment CAPM in emerging India’s capital market. The sample consists of 69 company’...

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Bibliographic Details
Main Authors: Rashmi Chaudhary, Dheeraj Misra, Priti Bakhshi
Format: Article
Language:English
Published: LLC "CPC "Business Perspectives" 2020-07-01
Series:Investment Management & Financial Innovations
Subjects:
beta
co-kurtosis
co-skewness
panel data analysis
return
variance
Online Access:https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/13717/IMFI_2020_02_Bakhshi.pdf

Internet

https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/13717/IMFI_2020_02_Bakhshi.pdf

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