系统偏度与股票回报率

IF 2.2 Q2 BUSINESS, FINANCE Review of Asset Pricing Studies Pub Date : 2024-06-12 DOI:10.1093/rapstu/raae010

Paul Karehnke

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引用次数: 0

摘要

本文重新审视了系统偏度与回报率之间的关系，得出了两个主要结论。首先，个股的系统偏度溢价是随时间变化的。当偏度偏好或系统偏度高于而不是低于中位数时，溢价会高出 4%。两者的综合效应导致溢价的时间变化约为 7%。其次，相对于大多数常见特征（规模和动量除外），系统偏度在解释回报方面具有显著的额外解释力。这两项结果表明，偏度偏好是预期收益的重要决定因素，为规模和动量提供了可能的理由。(JEL G11, G12)

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Systematic Skewness and Stock Returns

This paper revisits the relation between systematic skewness and returns, showing two main findings. First, the systematic skewness premium in individual stocks is time varying. When either skewness preference or systematic skewness is above rather than below the median, the premium is 4% higher. The combined effect of the two induces time variation in the premium of about 7%. Second, systematic skewness has significant additional explanatory power in explaining returns relative to most common characteristics, except size and momentum. These two results imply that skewness preference is an important determinant of expected returns providing a possible rationale for size and momentum. (JEL G11, G12)

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来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.

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