Idiosyncratic Risk, Return Volatility, and Return Skewness
收藏科学数据银行2022-01-18 更新2026-04-23 收录
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资源简介：
The data comprise of monthly interval data on return volatility and return skewness for three stocks, Shell plc, BP plc, and ExxonMobil, as well as monthly interval idiosyncratic volatility that are generated by, respectively the Sharpe (1964) one-factor CAPM; the Harvey and Siddique (2000) market coskewness CAPM; the Kraus and Litzenberger (1976) market skewness CAPM; the Fama and French (1993) three-factor CAPM; and an asset pricing model that aggregates pricing factors in the Kraus and Litzenberger (1976) and Fama and French (1993) models. The data and the accompanying code facilitate comparisons of rationality and efficiency of pricing of idiosyncratic risk by investors in stock markets.
提供机构：
Oghenovo Obrimah
创建时间：
2022-01-17
