Theories Of Asset Pricing Behaviour - are not
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In this chapter, we review the literature about the use of third- and fourth-order moments in finance, the main papers on asset pricing theory with higher-order moments, and the definitions of skewness and kurtosis in the statistical literature. Contagion, skewness and kurtosis investor preferences, and tail regimes are some of the topics discussed in this Aset.
We derive theoretical results about the higher-order moments of the bivariate truncated normal distribution, and analyze the implications of the results for previous empirical tests. We provide these results as a tool to be used in the empirical testing of asymmetries and heavy-tailedness of assets returns.
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JEL Classification: G Abstract In this chapter, we review the literature about the use of third- and fourth-order moments in finance, the main papers on asset pricing theory with higher-order moments, and the definitions of skewness Behaivour kurtosis in the statistical literature. Tags: Chapter. This site was designed with the.]
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