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Homogeneity hypothesis in the context of asset pricing models : the quadratic market model

  • Barone-Adesi, Giovanni Istituto di finanza (IFin), Facoltà di scienze economiche, Università della Svizzera italiana, Svizzera
  • Gagliardini, Patrick Istituto di finanza (IFin), Facoltà di scienze economiche, Università della Svizzera italiana, Svizzera
  • Urga, Giovanni City University Business School, London, United Kingdom
    29.10.2000

14

Asset Pricing Models
Panel
English This paper proposes a two factor model for asset pricing. We formulate a model of asset returns that in addition to the traditional market return term includes also the square of the market return to account for risk originating from coskewness with the market portofolio. The quadratic term is able to account for heterogeneities across portfolios. We conclude that the extra term is significant and that the homogeneity hypothesis is accepted only in the presence of this term.
Language
  • English
Classification
Economics
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License undefined
Identifiers
  • RERO DOC 5394
  • ARK ark:/12658/srd1318103
Persistent URL
https://n2t.net/ark:/12658/srd1318103
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