Conditional Skewness in Asset Pricing Tests  

Oleh:

Harvey, Campbell R. ; Siddique, Akhtar

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 55 no. 3 (2000), page 1263-1296.
Topik: ASSET; studies; models; expected returns; assets; statistical analysis
Fulltext: p 1263.pdf (441.47KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.2 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

If asset returns have sustematic skewness, expected returns should include rewards for accepting this risk. We formalize this intuition with an asset pricing model that incorporates conditional skewness. Our results show that conditional skewness helps explain the cross - sectional variation of expected returns across assets and is significant even when factors based on size and book - to - market are included. Systematic skewness is economically important and commands a risk premium, on average, of 3,60 percent per year. Our results suggest that the momentum effect is related to systematic skewness. The low expected return momentum protfolio have higher skewness than high expected return portfolios.

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