Doan, Minh Phuong; Lin, Chien-Ting; Chng, Michael; … - In: Accounting and Finance 54 (2014) 3, pp. 779-807
type="main" xml:id="acfi12022-abs-0001" xml:lang="en" <title type="main">Abstract</title> <p>We examine whether systematic higher moments capture beta asymmetry in an asset pricing model whereby the conditional beta of a risky asset increases (decreases) during a bear (bull) market state. We first provide a simple conceptual...</p>
