Homogeneity hypothesis in the context of asset pricing models : the quadratic market model
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Barone-Adesi, Giovanni
Istituto di finanza (IFin), Facoltà di scienze economiche, Università della Svizzera italiana, Svizzera
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Gagliardini, Patrick
Istituto di finanza (IFin), Facoltà di scienze economiche, Università della Svizzera italiana, Svizzera
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Urga, Giovanni
City University Business School, London, United Kingdom
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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.
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Language
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Classification
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Economics
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License
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License undefined
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Identifiers
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RERO DOC
5394
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ARK
ark:/12658/srd1318103
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Persistent URL
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https://n2t.net/ark:/12658/srd1318103
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