Skewness of return distribution and coefficient of risk premium

doi:10.1007/s11424-009-9170-x

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	Skewness of return distribution and coefficient of risk premium
	Wen, Fenghua 1; Yang, Xiaoguang1,2
	2009-06-01
发表期刊	JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
ISSN	1009-6124
卷号	22 期号:3 页码:360-371
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.
关键词	Coefficient of risk premium return distribution robust skewness speculation
DOI	10.1007/s11424-009-9170-x
语种	英语
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
WOS类目	Mathematics, Interdisciplinary Applications
WOS记录号	WOS:000269012500002
出版者	SPRINGER
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/7945
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.