A Three-Moment International Asset-Pricing Model: Theory and Evidence

46 Pages Posted: 14 Nov 2005

See all articles by Vihang R. Errunza

Vihang R. Errunza

McGill University - Desautels Faculty of Management

Oumar Sy

Dalhousie University

Date Written: November 2005

Abstract

We develop a three-moment international asset-pricing model (TM-IAPM) that prices coskewness and embeds the standard IAPMs as special cases. We use the model to investigate the time-series behavior of market, size, value, and momentum premiums in the United States, Japan, and the United Kingdom equity markets. We find that the model explains most of the variation of these premiums during the 1980s and 1990s and that the coskewness risk is more important than covariance risk.

Keywords: International asset pricing, nonlinearity, anomaly, size, value, momentum

JEL Classification: G10, G12, G14, G15

Suggested Citation

Errunza, Vihang R. and Sy, Oumar, A Three-Moment International Asset-Pricing Model: Theory and Evidence (November 2005). Available at SSRN: https://ssrn.com/abstract=845770 or http://dx.doi.org/10.2139/ssrn.845770

Vihang R. Errunza (Contact Author)

McGill University - Desautels Faculty of Management ( email )

1001 Sherbrooke St. West
Montreal, Quebec H3A1G5 H3A 2M1
Canada
514-398-4056 (Phone)
514-398-3876 (Fax)

Oumar Sy

Dalhousie University ( email )

6225 University Avenue
Halifax, Nova Scotia B3H 4H7
Canada
902-494-3849 (Phone)
902-494-1107 (Fax)

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
433
Abstract Views
3,944
Rank
123,360
PlumX Metrics