Does realized skewness predict the cross-section of Chinese stock returns?

被引：3

作者：

Dai, Yiming ^{[1
,2
]}

Jiang, Yuexiang ^{[1
]}

Long, Huaigang ^{[3
,4
,9
]}

Wang, Hui ^{[5
]}

Zaremba, Adam ^{[6
,7
,8
]}

机构：

[1] Zhejiang Univ, Sch Econ, Yuhang Tang Rd 886, Hangzhou 310027, Zhejiang, Peoples R China

[2] ZheShang Bank Co Ltd, Minxin Rd 1, Hangzhou 310006, Zhejiang, Peoples R China

[3] Zhejiang Univ Finance & Econ, Sch Finance, 18 Xueyuan St, Hangzhou 310018, Zhejiang, Peoples R China

[4] Zhejiang Univ Finance & Econ, China Res Inst Regulat & Publ Policy, New Type Key Think Tank Zhejiang Prov, 18 Xueyuan St, Hangzhou 310018, Zhejiang, Peoples R China

[5] Zhejiang Shuren Univ, Sch Econ & Social Welf, 8 Shuren St, Hangzhou 310015, Zhejiang, Peoples R China

[6] Montpellier Business Sch, 2300 Ave Moulins, F-34185 Montpellier 4, France

[7] Poznan Univ Econ & Business, Inst Finance, Dept Investment & Financial Markets, Al Niepodleglosci 10, PL-61875 Poznan, Poland

[8] Univ Cape Town, Fac Commerce, Cape Town, South Africa

[9] Zhejiang Univ Finance & Econ, 18 Xueyuan St, Hangzhou 310018, Zhejiang, Peoples R China

来源：

FINANCE RESEARCH LETTERS | 2023年 / 58卷

基金：

中国国家自然科学基金;

关键词：

Realized skewness; Return p redictability; Chinese stock market; Asset pricing; Relative signed jump variance; RISK; EQUILIBRIUM; PREFERENCE;

D O I：

10.1016/j.frl.2023.104363

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine the effect of realized skewness on Chinese stock returns. We construct realized skewness by using intraday data at a monthly horizon. Our study finds a significant negative relation between realized skewness and future stock returns in both portfolio analyses and cross-sectional regressions after controlling for well-known risk factors. This result is robust under many considerations. However, after controlling for relative signed jump variance, this effect disappears in China but is not reversed as in the United States.

引用

页数：10

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