Co-skewness and expected return: Evidence from international stock markets

被引：6

作者：

Dong, Liang ^{[1
]}

Kot, Hung Wan ^{[2
]}

Lam, Keith S. K. ^{[2
]}

Liu, Ming ^{[3
]}

机构：

[1] Hunan Univ Technol & Business, Changsha, Peoples R China

[2] Univ Macau, Fac Business Adm, Dept Finance & Business Econ, Macau, Peoples R China

[3] Univ Macau, Fac Business Adm, Dept Accounting & Informat Management, Macau, Peoples R China

来源：

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY | 2022年 / 76卷

关键词：

Co-skewness; Stock return; International stock market; Market integration; Perceived uncertainty; CROSS-SECTION; CONDITIONAL SKEWNESS; CRASH RISK; PRICE; INTEGRATION; INFORMATION; VOLATILITY; LIQUIDITY; INDIVIDUALISM; LOTTERIES;

D O I：

10.1016/j.intfin.2021.101479

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We investigate the pricing role of co-skewness using stock level data from 21 financial markets globally. We find that co-skewness with the local, regional, and world market returns all have significant negative effects on the expected return. Regional and world co-skewness have additional pricing power in addition to local co-skewness. The results are robust after controlling for well-documented pricing factors such as size, value, profitability, investment, momentum, and liquidity. In addition, market attributes related to the information environment, market integration degree, and cultural characteristics have profound influences on the cross-market coskewness premium variations. Finally, the co-skewness effects are more pronounced when the investors' perceived uncertainty and volatility level are high.

引用

页数：21

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