Conditional effects of higher order co-moments in asset pricing: Evidence from Borsa Istanbul

Altay E., Uzun S., Aydemir Özgül B.

Borsa Istanbul Review, 2024 (SSCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Basım Tarihi: 2024
  • Doi Numarası: 10.1016/j.bir.2024.06.009
  • Dergi Adı: Borsa Istanbul Review
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, EconLit, Directory of Open Access Journals
  • Anahtar Kelimeler: Asset pricing, Emerging markets, Four-moment CAPM
  • İstanbul Üniversitesi Adresli: Evet

Özet

This paper explores how systematic higher order moments (co-skewness and co-kurtosis) are priced in Borsa Istanbul. We tested the significance of higher order co-moments and analyzed their contribution to the standard capital asset pricing model and the Fama and French (2015) 5-factor model. We used a two-stage method to analyze the weekly returns of beta and size-sorted portfolios and individual stocks over the sample period from June 22, 2007 to November 15, 2023. We also used models conditional on market movements. The findings reveal that co-skewness has statistically significant effects on portfolio returns in Borsa Istanbul, especially in up markets. We also present the statistically significant effects of co-kurtosis on individual stock returns in both up and down markets.