A New Test of the Three-Moment Capital Asset Pricing Model
用广义矩方法检验三矩资本资产定价模型，发现系统偏度在股票收益中有定价作用，对研究资产定价的学者有参考价值。
This paper tests the Kraus-Litzenberger (1976) three-moment capital asset pricing model using Hansen's (1982) generalized method-of-moments (GMM). The GMM approach does not impose strong distributional assumptions on the asset returns. This is an interest? ing issue since there is no obvious multivariate distribution for returns that also exhibits co-skewness. Using monthly stock returns to test the model, there is some evidence that systematic skewness is priced.