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Performance evaluation considering the coskewness: a stochastic discount factor framework

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dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorRodríguez López, Rosa
dc.contributor.authorMoreno, David
dc.date.accessioned2010-04-15T11:09:04Z
dc.date.available2010-04-15T11:09:04Z
dc.date.issued2006
dc.description.abstractPurpose – The paper aims to examine the performance of Spanish mutual funds between 1999 and 2003. Design/methodology/approach – The methodolgy uses the stochastic discount factor (SDF) framework across a variety of models developed in the recent asset pricing literature. This approach is a fairly recent innovation in the evaluation of investment performance. Findings – The present work complements the research of Farnworth et al. and Fletcher and Forbes, adding a new issue to the SDF, the third co-moment of asset returns. Recent asset pricing studies show the relevance of the component of an asset's skewness related to the market portfolio's skewness, the coskewness, and how it helps to explain the time-variation of ex-ante market risk premiums. It is found that the effects of adding coskewness to evaluate the performance is significant even when factors based on size, book-to-market and momentum are included. Practical implications – The omission of a coskewness factor may lead to erroneous evaluations of a fund's performance, and therefore, issues such as the persistence of performance should be revised. Originality/value – This paper explores, for the first time, the effects of incorporating a coskewness factor in the analysis of investment performance, both in an unconditional and a conditional framework using SDF models.
dc.description.statusPublicado
dc.format.mimetypetext/plain
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationManagerial finance, 2006, Vol. 32, No 4, p. 375-392
dc.identifier.doi10.1108/03074350610652279
dc.identifier.issn0307-4358
dc.identifier.publicationfirstpage375
dc.identifier.publicationissue4
dc.identifier.publicationlastpage392
dc.identifier.publicationtitleManagerial finance
dc.identifier.publicationvolume32
dc.identifier.urihttps://hdl.handle.net/10016/7617
dc.language.isoeng
dc.publisherEmerald
dc.relation.publisherversionhttp://dx.doi.org/10.1108/03074350610652279
dc.rights©Emerald
dc.rights.accessRightsopen access
dc.subject.ecienciaEmpresa
dc.subject.otherCapital asset pricing model
dc.subject.otherFund management
dc.subject.otherSpain
dc.titlePerformance evaluation considering the coskewness: a stochastic discount factor framework
dc.typeresearch article*
dc.type.reviewPeerReviewed
dspace.entity.typePublication
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