Kostakis, Alexandros; Muhammad, Kashif; Siganos, Antonios - In: Journal of Banking & Finance 36 (2012) 3, pp. 913-922
This study examines the asset pricing implications of preferences over the higher moments of returns’ distributions. We show that in a market populated by risk-averse, prudent and temperate investors, firms whose returns exhibit negative coskewness or positive cokurtosis should yield higher...