Högholm, Kenneth; Knif, Johan; Koutmos, Gregory; … - In: Journal of International Financial Markets, … 21 (2011) 5, pp. 851-866
The market coskewness puzzle has occupied the empirical asset pricing research since the third-moment asset pricing model was introduced by Kraus and Litzenberger (1976) and Friend and Westerfield (1980). Using the Fama-French 49 US industry portfolios this paper empirically shows that the...