Testing asset pricing models with coskewness.

In this article we investigate portfolio coskewnes using a quadratic market pattern as a return-generating process. We exhibit that the portfolios of small (large) firms have negative (positive) coskewnes with the market. We trial an asset pricing model including coskewnes lay checking the validity of the restrictions that it imposes upon the return-generating process. We find evidence of an additional constituent in expected excess returns, which is not explained by the agency of either covariance or coskewness with the market. However, this unexplained constituting is homogeneous across portfolios in our sample and unpretending in magnitude. Finally, we investigate the implications of erroneously neglecting