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Skewness of return distribution and coefficient of risk premium

文献类型：期刊论文

作者Wen, Fenghua1; Yang, Xiaoguang1,2
刊名JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
出版日期2009-06-01
卷号22期号:3页码:360-371
关键词Coefficient of risk premium return distribution robust skewness speculation
ISSN号1009-6124
DOI10.1007/s11424-009-9170-x
英文摘要The skewness of the return distribution is one of the important features of the security price. In this paper, the authors try to explore the relationship between the skewness and the coefficient of risk premium. The coefficient of the risk premium is estimated by a GARCH-M model, and the robust measurement of skewness is calculated by Groeneveld-Meeden method. The empirical evidences for the composite indexes from 33 securities markets in the world indicate that the risk compensation requirement in the market where the return distribution is positively skewed is virtually zero, and the risk compensation requirement is positive in a significant level in the market where the return distribution is negative skewed. Moreover, the skewness is negatively correlated with the coefficient of the risk premium.
资助项目China Natural Science Foundation[70701035] ; China Natural Science Foundation[70425004] ; China Natural Science Foundation[70221001] ; Hunan Natural Science Foundation[09JJ1010] ; Key Research Institute of Philosophies and Social Studies in Hunan Universities
WOS研究方向Mathematics
语种英语
WOS记录号WOS:000269012500002
出版者SPRINGER
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/7944]  
专题系统科学研究所
通讯作者Wen, Fenghua
作者单位1.Changsha Univ Sci & Technol, Sch Econ & Management, Changsha 410076, Hunan, Peoples R China
2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式
GB/T 7714		 Wen, Fenghua,Yang, Xiaoguang. Skewness of return distribution and coefficient of risk premium[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2009,22(3):360-371.
APA Wen, Fenghua,&Yang, Xiaoguang.(2009).Skewness of return distribution and coefficient of risk premium.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,22(3),360-371.
MLA Wen, Fenghua,et al."Skewness of return distribution and coefficient of risk premium".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY 22.3(2009):360-371.

入库方式： OAI收割

来源：数学与系统科学研究院

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