Are Downside Higher Order Co-Moments Priced? : Evidence from the French Market

This study examines the role of downside higher order co-moments in asset pricing models when stock returns are not normal. We test the effect of higher order downside co-moments using a data set of daily returns of Société des Bourses Françaises 250 Index stocks during the period 1987-2009. The results suggest that the downside Beta and higher order co-moments in the downside framework should be considered together when returns are non normal and that they out-perform the traditional beta