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Higher-order comoments and asset returns: evidence from emerging equity markets

  • S.I.: Networks and Risk Management
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Abstract

This article examines the role of co-skewness and co-kurtosis in explaining portfolio excess returns utilizing time-series and Fama–Macbeth cross-sectional regression methods in the context of an emerging market. The sample consists of listed firms in Vietnam stock market covering the period from September 2011 to December 2016. This paper reports that co-skewness and co-kurtosis are not important in explaining stock returns in Vietnam stock market. More importantly, we find that market risk premium is the most important factor while other popular factors such as SMB, HML and UMD have minor impact on stock returns. This finding is crucial in identifying factors significantly influencing stock returns in emerging equity markets. This paper also supports the proposition that findings from advanced markets might not be able to generalize into the context of emerging markets. The finding has direct implications for portfolio analysis and risk management.

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Authors and Affiliations

  1. Institute of Business Research and CFVG Ho Chi Minh City, University of Economics Ho Chi Minh City, Ho Chi Minh City, Vietnam

    Xuan Vinh Vo

  2. University of Economics Ho Chi Minh City, Ho Chi Minh City, Vietnam

    Thi Tuan Anh Tran

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  1. Xuan Vinh Vo
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  2. Thi Tuan Anh Tran
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Correspondence to Xuan Vinh Vo.

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Vo, X.V., Tran, T.T.A. Higher-order comoments and asset returns: evidence from emerging equity markets. Ann Oper Res 297, 323–340 (2021). https://doi.org/10.1007/s10479-020-03549-0

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  • DOI: https://doi.org/10.1007/s10479-020-03549-0

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