Arbitrage Equilibrium with Skewed Asset Returns
结合Kraus-Litzenberger的协方差-协偏度模型与套利定价理论，实证检验了偏态收益下的市场均衡，发现对偏态偏好假说有一定支持，但套利均衡未能完全解释证券定价。
The quadratic form of the covariance-co-skewness model by Kraus and Litzenberger and arbitrage pricing theory are used for an empirical investigation of market equilibrium with skewed seecurity returns. Empirical tests similar to the ones in Black-Jensen-Scholes and Gibbons are discussed. The empirical estimates give some support to the Kraus-Litzenberger hypothesis on skewness preference. However, there is some evidence that the tested arbitrage equilibrium is not a complete description of security pricing.