coefficients of coskewness and cokurtosis have the correct sign as predicted by the higher-moment CAPM theory but only cokurtosis …

Recent developments in intertemporal asset pricing theory focus on two sets of fundamental determinants of asset …, most empirical applications, as well as the best practice in the financial industry, ignore much of what theory has to say … kernel that depends on returns, as in the CAPM or the APT, can accurately price assets. In this sense, theory based on …