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Modelling emerging market risk premia using higher moments
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Hwang, Soosung and Satchell, S. (Stephen) (1999) Modelling emerging market risk premia using higher moments. Working Paper. University of Warwick: Warwick Business School Financial Econometrics Research Centre. Working Papers Series, Vol.1999 (No.17).
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Official URL: http://www2.warwick.ac.uk/fac/soc/wbs/research/wfr...
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 |
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| 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 | ||||
| Official Date: | 11 August 1999 | ||||
| Dates: |
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| Volume: | Vol.1999 | ||||
| Number: | No.17 | ||||
| Institution: | University of Warwick | ||||
| Status: | Not Peer Reviewed | ||||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) |
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