Document Type : Research Paper
Abstract
This research evaluates the role of co-skewness and co-kurtosis as measures of risk on returns at Tehran Stock Exchange. For this purpose a sample of 96 companies listed in the stock market for the period of 1380-1392 is tested. The method used in this research is the two stage Fama Macbeth cross section regression method (1973). In order to clarify the affect of higher moments the effects of size, book to market value, momentum and beta is also controlled. There is weak evidence that co-skewness is priced. In return there was no relationship between co-kurtosis and stock return at Tehran Stock Exchange market.
Keywords
تهرانی، رضا، میثم بلگوریان و احمد نبی‌زاده. (1387). ﺑﺮرﺳﻲ ﺗأﺛﻴﺮ ﭼﻮﻟﮕﻲ و ﻛﺸﻴﺪﮔﻲ در ﺗﻮﺻﻴﻒ ﺑﺎزده ﺳﻬﺎم ﺑﺎ اﺳﺘﻔﺎده از ﻣﺪل ﻗﻴﻤﺖ داراﻳﻲ ﮔﺬاری ﺳﺮﻣﺎﻳﻪای، ﻓﺼﻠﻨﺎﻣﻪ ﺑﻮرس اوراق ﺑﻬﺎدار، 4: 52-35.## راعی، رضا، سعید بهاروند و مسعود موفقی. (1389). قیمت گذاری دارایی با عوامل بیشتر (بررسی تجربی در بورس تهران با استفاده از داده های تلفیقی)، فصلنامه اقتصاد مقداری (بررسی‌های اقتصادی سابق)، 7(4): 115-101. ##
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