Hwang, Soosung and Satchell, S. (Stephen) (1999) Modelling emerging market risk premia using higher moments. Working Paper. Warwick Business School Financial Econometrics Research Centre, University of Warwick.

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Abstract

The purpose of this paper is to assess the incremental value of higher moments in modelling CAPMs of emerging markets. Whilst it is recognised that emerging markets are unlikely to yield sensible results in a mean-variance world, the high skewness and kurtosis present in emerging markets returns make our assessment potentially interesting. Generalized method of moments (GMM) is used for the estimation. We also present new versions of higher-moment market models of the data generating process of the individual emerging markets and use these to identify model parameters. We find some evidence that emerging markets are better explained with additional systematic risks such as co-skewness and co-kurtosis than the conventional mean-variance CAPM.

Item Type:	Working or Discussion Paper (Working Paper)
Subjects:	H Social Sciences > HG Finance
Divisions:	Faculty of Social Sciences > Warwick Business School > Financial Econometrics Research Centre Faculty of Social Sciences > Warwick Business School
Library of Congress Subject Headings (LCSH):	Capital assets pricing model, Moments method (Statistics), Developing countries -- Econometric models
Series Name:	Working Papers Series
Publisher:	Warwick Business School Financial Econometrics Research Centre
Place of Publication:	University of Warwick
Date:	11 August 1999
Volume:	Vol.1999
Number:	No.17
Status:	Not Peer Reviewed
Access rights to Published version:	Open Access
Funder:	Newton Trust, Dresdner Kleinwort (Firm), Institute for Quantitative Investment and Research (Great Britain) (INQUIRE)
URI:	http://wrap.warwick.ac.uk/id/eprint/1833

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