Higher moment equity risk and stock return - the case of value weighted portfolio: evidence from A'ietnam

Abstract

    This paper investigates the relation between higher moment equity risk and stock return, case ofvalue weighted portfolio in different periods. The result suggests that coskewness is negative andsignificant in explaining stock return in down market. Covariance, Cokortosis and nonlinear factorsare not significantly explained stock return The results have strong practical implications inanalyzing risk and return relation in asset pricing.