系统性偏倚的资产定价:二十年后

IF 1.6 Q3 BUSINESS, FINANCE Critical Finance Review Pub Date : 2023-01-01 DOI:10.1561/104.00000133

D. Anghel, Petre Caraiani, Alina Roşu, Ioanid Roşu

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引用次数: 2

摘要

我们重新审视了Kraus和Litzenberger(1976)的三时刻CAPM模型中的风险因素——系统偏度(“coskewness”)的资产定价表现。在一篇有影响力的论文中，Harvey和Siddique(2000)检验了一个通过对股票进行过去的协偏性排序而构建的协偏性因子。我们复制和扩展他们的论文。总体而言，co - skeness似乎在股票的横截面上定价，特别是当使用替代的co - skeness代理时，例如(i) Langlois(2020)的预测系统偏度(PSS)，其中co - skeness由各种公司特征预测，或(ii)修改的PSS因子(mPSS)，仅使用基于回报的特征。

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Asset Pricing with Systematic Skewness: Two Decades Later

We reexamine the asset pricing performance of systematic skew-ness (“coskewness”), a risk factor in the three-moment CAPM model of Kraus and Litzenberger (1976). In an inﬂuential paper, Harvey and Siddique (2000) test a coskewness factor constructed by sorting stocks on past coskewness. We replicate and extend their paper. Overall, coskewness appears to be priced in the cross section of stocks, especially when using an alternative coskewness proxy like (i) the predicted systematic skewness ( PSS ) of Langlois (2020), where coskewness is predicted by various ﬁrm characteristics, or (ii) a modiﬁed PSS factor ( mPSS ) that uses only return-based characteristics.

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