Carmichael, Benoıˆt; Coën, Alain - In: Finance Research Letters 10 (2013) 2, pp. 50-57
Despite the fact that it is easy to see intuitively why skewness and coskewness should matter for asset pricing, it is difficult to build a model that links analytically skewness premia to deep structural parameters governing preferences and the distribution of shocks. This paper takes up the...
