Moreno, David; Rodríguez, Rosa - In: Journal of Banking & Finance 33 (2009) 9, pp. 1664-1676
Recent asset pricing studies demonstrate the relevance of incorporating coskewness in asset pricing models, and … of coskewness in mutual fund performance evaluation and finds evidence that adding a coskewness factor is economically … and statistically significant. It documents that coskewness is sometimes managed and shows persistence of the coskewness …