JFQ volume 24 issue 2 Cover and Front matter
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JFQ volume 24 issue 4 Cover and Front matter
An abstract is not available for this content so a preview has been provided. As you have access to this content, a full PDF is available via the ‘Save PDF’ action button.
JFQ volume 24 issue 1 Cover and Front matter
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JFQ volume 24 issue 3 Cover and Front matter
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JFQ volume 24 issue 2 Cover and Back matter
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JFQ volume 24 issue 1 Cover and Back matter
An abstract is not available for this content so a preview has been provided. As you have access to this content, a full PDF is available via the ‘Save PDF’ action button.
JFQ volume 24 issue 4 Cover and Back matter
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JFQ volume 24 issue 3 Cover and Back matter
Burgeoning interest among academics in the design of financial contracts and institutions has been spurred by developments in information economics
Mergers, Executive Risk Reduction, and Stockholder Wealth
Wilbur Lewellen, Claudio Loderer, Ahron Rosenfeld, Mergers, Executive Risk Reduction, and Stockholder Wealth, The Journal of Financial and Quantitative Analysis, Vol. 24, No. 4 (Dec., 1989), pp. 459-472
A New Test of the Three-Moment Capital Asset Pricing Model
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 interesting 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.