Shefrin - Behavioral & Neoclassical asset pricing theories - 2008
Shefrin - Behavioral & Neoclassical asset pricing theories - 2008
Shefrin - Behavioral & Neoclassical asset pricing theories - 2008
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What We Know About<br />
the Pricing and Coskewness<br />
Barone-Adesi and Talwar (1983).<br />
Harvey-Siddique (2000).<br />
The correlation between coskewness and<br />
mean returns of portfolios sorted by size,<br />
book-to-market equity, and momentum is -<br />
0.71.<br />
This means that much of the explanatory<br />
power of size, B/M, and momentum<br />
plausibly derives from coskewness.<br />
Copyright Hersh <strong>Shefrin</strong> <strong>2008</strong><br />
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