| dc.description.abstract | If asset returns present systematic skewness, then the risk associated with it should be compensated accordingly and this compensation should be identified in the premia of the expected returns. Thus, asset pricing models have to incorporate coskewness as an additional explanatory factor, in order to better explain stocks and the phenomenae linked to them. Starting with the assumptions and ideas of Harvey and Siddique (2000), we conduct an empirical analysis on the stock markets of Germany and Poland during ten periods, with the purpose of identifying some differentiations for coskewness premia. The models employed stress three main hypotheses regarding discrepancies in terms of coskewness premia between emerging and developed markets, as well as relationships between coskewness, size and book-to-market effects. Our results show that coskewness plays an important role in explaining excess returns, especially when associated with size and book-to-market loadings, is economically important and commands an average risk premium of 5.34% for Germany and of (-1.46%) for Poland (at a 5% confidence level). This supports the idea that emerging markets offer more opportunities to reduce overall volatility as they prove to be more right-skewed market. Additionally, there seem to be no evident connections between coskewness, size and book-to-market effects, each playing an equally important role in explaining excess returns. | no_NO |
