Moreno, David; Rodriguez, Rosa - Departamento de Economía de la Empresa, Universidad … - 2008
Recent asset pricing studies demonstrate the relevance of incorporating the coskewness in Asset Pricing Models, and … of coskewness in mutual funds performance evaluation. We find evidence that adding a coskewness factor is economically … and statistically significant. We document that some managers are managing the coskewness and show, in general, a …