This study aims at analysing the impact of co-skewness and co-kurtosis on the returns of the Indian stocks by incorporating co-skewness and co-kurtosis in the traditional capital asset pricing model (CAPM) of Sharpe, in a three-factor model of Fama and French and in a four-factor model of Carhart. The results of the study show that co-skewness and co-kurtosis have significant impact on the returns of the Indian stock. However, the impact of co-skewness is higher than co-kurtosis.
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