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. JEL Classification: G11, G12

中文翻译：

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四时制CAPM模型：来自印度股市的证据

本研究旨在通过将协偏度和共峰度纳入夏普的传统资本资产定价模型（CAPM）中，以三因素模型分析共偏度和共峰度对印度股票收益的影响。 Fama和French，以及Carhart的四因素模型。研究结果表明，偏度和峰度对印度股票的收益有重大影响。但是，共偏斜的影响高于共峰度。JEL分类：G11，G12