RT Generic
T1 The value of coskewness in evaluating mutual funds
A1 Moreno, David
A1 Rodríguez, Rosa
A2 Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, 
AB Recent asset pricing studies demonstrate the relevance of incorporating the coskewness in AssetPricing Models, and illustrate how this component helps to explain the time variation of ex-antemarket risk premiums. This paper analyzes the role of coskewness in mutual funds performanceevaluation. We find evidence that adding a coskewness factor is economically and statisticallysignificant. We document that some managers are managing the coskewness and show, in general,a persistent behaviour on time in their coskewness policy. One of the most striking results is thatmany negative (positive) alpha funds measured relative to the CAPM risk adjustments would bereclassified as positive (negative) alpha funds using a model with coskewness. Therefore, a rankingof funds based on risk adjusted returns without considering coskewness would generate anerroneous classification. Moreover, some fund characteristics, such as the turnover ratio or thecategory, are related to the likelihood of managing coskewness.
YR 2008
FD 2008-12
LK https://hdl.handle.net/10016/3832
UL https://hdl.handle.net/10016/3832
LA eng
DS e-Archivo
RD 19 may. 2024