Tác động của các nhân tố hiệp moment bậc cao đến tỉ suất sinh lợi: Nghiên cứu thực nghiệm trên Sở Giao dịch Chứng khoán Thành phố Hồ Chí Minh
DOI:
https://doi.org/10.24311/jabes/2016.27.11.849Keywords:
Higher co-moment, Return, Stock market, HOSEAbstract
This study focuses on identifying the presence as well as effects of higher co-moment involving co-skewness and co-kurtosis on the expected return on Ho Chi Minh City Stock Exchange (HOSE) during 2009–2014. The identification of the impacts of higher co-moment factors may support the estimation of the expected return accurately, and prevent the unexpected risks for investors. By measuring these higher co-moment factors in a five-factor model using the OLS regression technique, we find the statistically significant impacts of co-skewness on the expected return on 15/25 portfolios on the HOSE. The portfolios are formed by the size and market-book value.
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