Multifactor asset pricing model incorporating coskewness and cokurtosis : the evidence from Asian mutual funds

Name: Nathee Naktnasukanjn

keyword: Multifactor

LCSH: Capital assets pricing model

; Higher moment

; Asset pricing

; Coskewness

; Cokurtosis

; Mutual fund

Abstract: This dissertation adds cokurtosis risk factor as a new factor into Moreno and Rodriguez (2009) five-factor model to be six-factor model to evaluate the equity mutual fund performance both unconditionally and conditionally, and between up and down market of three selected countries in Asia—China, Singapore, and Thailand as representatives of fast growing Asian countries. To my knowledge, this is the first research to incorporate both coskewness and cokurtosis risk factors into Carhart (1997) four-factor model, to become a six-factor model, to explain the equity mutual fund returns. Fund-by-fund investigation is also performed in order to examine whether there is any individual equity mutual fund that can outperform, or beat the market, by using first-moment, second-moment, lower partial-moment, and higher-moment measures

Thammasat University. Thammasat University Library

Address: BANGKOK

Email: preserv@tu.ac.th

Name: Pornchai Chunhachinda

Role: advisor

Name: Chaiyuth Padungsaksawasdi

Role: co-advisor

Created: 2014

Modified: 2022-01-18

Issued: 2022-01-18

วิทยานิพนธ์/Thesis

application/pdf

DOI: 10.14457/TU.the.2014.287

eng

DegreeName: Doctor of Business Administration

Level: Doctoral Degree

Descipline: Finance

Grantor: Thammasat University

©copyrights Thammasat University

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