Testing Asset Pricing Models With Coskewness
用二次市场模型研究投资组合的共偏度，发现小公司组合有负共偏度、大公司有正共偏度；检验包含共偏度的资产定价模型，发现预期超额收益中存在未被协方差或共偏度解释的额外成分，但该成分在各组合间同质且幅度不大。
In this article we investigate portfolio coskewness using a quadratic market model as a return-generating process. We show that the portfolios of small (large) firms have negative (positive) coskewness with the market. We test an asset pricing model including coskewness by checking the validity of the restrictions that it imposes on the return-generating process. We find evidence of an additional component in expected excess returns, which is not explained by either covariance or coskewness with the market. However, this unexplained component is homogeneous across portfolios in our sample and modest in magnitude. Finally, we investigate the implications of erroneously neglecting coskewness for testing asset pricing models, with particular attention to the empirically detected explanatory power of firm size.