Abstract :
This paper aims at analyzing the role of higher moments (coskewness
and cokurtosis) in examining the beta asymmetry while pricing risky assets
in the Indian Stock Market. To examine the impact of coskewness and
cokurtosis in explaining asymmetric market risk, a time period of around
108 months from April 2006 to March 2015 has been considered. The 12
sectors (namely, Auto, Banking, FMCG, Consumer Durables, Capital
Goods, Oil and Gas, IT, Telecom, Realty, HealthCare, Metals and Power)
constitute the total population of the study. The S&P BSE 500 index, is
taken as a proxy for market portfolio. The results of the study show that the
inclusion of systematic skewness and systematic kurtosis in conditional
beta estimation model display better explanatory power for equityreturn
variations but are not able to fully explain the beta asymmetry
Keyword :
Asset Pricing, Coskewness, Cokurtosis, Dual Beta Model, Higher Moments.