Homogeneity Hypothesis in the Context of Asset Pricing Models : The Quadratic Market Model

This paper proposes a two factor model for asset pricing. We formulate a model of asset returns that in addition to the traditional market return term includes also the square of the market return to account for risk originating from coskewness with the market portofolio. The quadratic term is able to account for heterogeneities across portfolios. We conclude that the extra term is significant and that the homogeneity hypothesis is accepted only in the presence of this term

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Year of publication:	[2001]
Authors:	Barone-Adesi, Giovanni
Other Persons:	Gagliardini, Patrick (contributor) ; Urga, Giovanni (contributor)
Publisher:	[2001]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (14 p)
Series:	Cass Business School Research Paper
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 29, 2000 erstellt
Other identifiers:	10.2139/ssrn.263215 [DOI]
Classification:	G12 - Asset Pricing ; C23 - Models with Panel Data
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012742568