The purpose of this paper is to assess the incremental value of higher moments in modelling CAPMs of emerging markets. Whilst it is recognised that emerging markets are unlikely to yield sensible results in a mean-variance world, the high skewness and kurtosis present in emerging markets returns make our assessment potentially interesting. Generalized method of moments (GMM) is used for the estimation. We also present new versions of higher-moment market models of the data generating process of the individual emerging markets and use these to identify model parameters. We find some evidence that emerging markets are better explained with additional systematic risks such as co-skewness and co-kurtosis than the conventional mean-variance CAPM
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