我国股票市场收益率偏度对风险补偿的影响研究

doi:10.16381/j.cnki.issn1003-207x.2019.0593

Abstract

Abstract: As the first fundamental law of finance, the relationship between return and volatility (risk premium) is far from being conclusive,the so-called “Return-Volatility Puzzle”. Financial theory shows a positive relationship, but empirical results tend to be opposite. As we all know, kurtosis, thick tail and negative skewness aretypical featuresof returns. These inherent and endogenous attributes undoubtedly have an important impact on risk compensation.Besides, the non-normal or asymmetrical distributional features can produce ineffectiveness or inaccuracy for those estimators of coefficients with wrong distributional assumptions regardless of linear or nonlinear tests of the relationship.

Key words: risk premium; skewness; kurtosis; GARCH; SGT distribution

CLC Number:

MI Xian-hua, MA Chao-qun, ZHAO Xin-wei. A Study about the Impact of Return’s Skewness on Risk Premium in Chinese Stock Market[J]. Chinese Journal of Management Science, 2022, 30(2): 48-57.

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A Study about the Impact of Return’s Skewness on Risk Premium in Chinese Stock Market

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