On the robustness of higher-moment factors in explaining average expected returns: evidence from Australia

journal contribution

posted on 2012-01-01, 00:00 authored by Daisy DoanDaisy Doan, Chien-Ting Lin

On the robustness of higher-moment factors in explaining average expected returns: evidence from Australia

History

Journal

Research in international business and finance

Volume

26

Issue

1

Pagination

67 - 78

Publisher

J A I Press Inc.

Location

New York, N.Y.

Publisher DOI

https://doi.org/10.1016/j.ribaf.2011.06.001

ISSN

0275-5319

eISSN

1878-3384

Language

eng

Publication classification

C1 Refereed article in a scholarly journal

Copyright notice

2011, Elsevier B.V. All rights reserved.

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Keywords

systematic skewness higher moment estimators errors-in-variables systematic kurtosis

Licence

All Rights Reserved

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