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Browsing Economics by Subject "Higher Moments CAPM; Information and Market Efficiency; Skewness and Kurtosis; Tactical Asset Allocation"

Browsing Economics by Subject "Higher Moments CAPM; Information and Market Efficiency; Skewness and Kurtosis; Tactical Asset Allocation"

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  • Lee, Jee Young (2012-09-13)
    This dissertation studies the U.S. stock market. The first chapter explores a four-moment CAPM under regime switching which incorporates the risk premia for skewness and kurtosis. As expected, estimates of risk premia for ...

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