Co-skewness and expected return: Evidence from international stock markets
Tài liệu tham khảo
Amaya, 2015, Does realized skewness predict the cross-section of equity returns?, J. Financ. Econ., 118, 135, 10.1016/j.jfineco.2015.02.009
Amihud, 2002, Illiquidity and stock returns: Cross-section and time-series effects, J. Financial Markets, 5, 31, 10.1016/S1386-4181(01)00024-6
An, 2018, Individualism and stock price crash risk, J. Int. Bus. Stud., 49, 1208, 10.1057/s41267-018-0150-z
Ang, 2006, The cross-section of volatility and expected returns, J. Finance, 61, 259, 10.1111/j.1540-6261.2006.00836.x
Ang, 2009, High idiosyncratic volatility and low returns: International and further US evidence, J. Financ. Econ., 91, 1, 10.1016/j.jfineco.2007.12.005
Bae, 2006, Corporate governance and conditional skewness in the world’s stock markets, J. Bus., 79, 2999, 10.1086/508006
Baker, 2012, Global, local, and contagious investor sentiment, J. Financ. Econ., 104, 272, 10.1016/j.jfineco.2011.11.002
Baker, 2016, Measuring economic policy uncertainty, Quart. J. Econ., 131, 1593, 10.1093/qje/qjw024
Bali, 2008, Idiosyncratic volatility and the cross section of expected returns, J. Financial Quant. Anal., 43, 29, 10.1017/S002210900000274X
Bali, 2011, Maxing out: Stocks as lotteries and the cross-section of expected returns, J. Financ. Econ., 99, 427, 10.1016/j.jfineco.2010.08.014
Barberis, 2008, Stocks as lotteries: The implications of probability weighting for security prices, Am. Econ. Rev., 98, 2066, 10.1257/aer.98.5.2066
Bathia, 2013, An examination of investor sentiment effect on G7 stock market returns, Eur. J. Finance, 19, 909, 10.1080/1351847X.2011.636834
Bekaert, 2005, Market Integration and Contagion, J. Bus., 78, 39, 10.1086/426519
Billio, 2017, Which market integration measure?, J. Bank. Finance, 76, 150, 10.1016/j.jbankfin.2016.12.002
Boyer, 2010, Expected idiosyncratic skewness, Rev. Financial Stud., 23, 169, 10.1093/rfs/hhp041
Boyer, 2014, Stock options as lotteries, J. Finance, 69, 1485, 10.1111/jofi.12152
Brunnermeier, 2009, Market liquidity and funding liquidity, Rev. Financial Stud., 22, 2201, 10.1093/rfs/hhn098
Chang, 2013, Market skewness risk and the cross section of stock returns, J. Financ. Econ., 107, 46, 10.1016/j.jfineco.2012.07.002
Cheon, 2018, Maxing out globally: Individualism, investor attention, and the cross section of expected stock returns, Manage. Sci., 64, 5807, 10.1287/mnsc.2017.2830
Chui, 2010, Individualism and momentum around the world, J. Finance, 65, 361, 10.1111/j.1540-6261.2009.01532.x
Chung, 2014, Uncertainty, market structure, and liquidity, J. Financ. Econ., 113, 476, 10.1016/j.jfineco.2014.05.008
Chung, 2017, Asymmetric correlation as an explanation for the effect of asset skewness on equity returns, Asia-Pacific J. Financial Stud., 46, 686, 10.1111/ajfs.12188
Conrad, 2013, Ex ante skewness and expected stock returns, J. Finance, 68, 85, 10.1111/j.1540-6261.2012.01795.x
Djankov, 2008, The law and economics of self-dealing, J. Financ. Econ., 88, 430, 10.1016/j.jfineco.2007.02.007
Doan, 2010, Pricing assets with higher moments: Evidence from the Australian and US stock markets, J. Int. Financial Markets, Inst. Money, 20, 51, 10.1016/j.intfin.2009.10.002
Dong, 2020, China vs. US: is co-skewness risk priced differently?., Asia-Pacific J. Account. Econ., 1
Eraker, 2015, Do investors overpay for stocks with lottery-like payoffs? An examination of the returns of OTC stocks, J. Financ. Econ., 115, 486, 10.1016/j.jfineco.2014.11.002
Eun, 2015, Culture and R2, J. Financ. Econ., 115, 283, 10.1016/j.jfineco.2014.09.003
Faias, 2017, Does institutional ownership matter for international stock return comovement?, J. Int. Money Finance, 78, 64, 10.1016/j.jimonfin.2017.08.004
Fama, 1993, Common risk factors in the returns on stocks and bonds, J. Financ. Econ., 33, 3, 10.1016/0304-405X(93)90023-5
Fama, 2015, A five-factor asset pricing model, J. Financ. Econ., 116, 1, 10.1016/j.jfineco.2014.10.010
Fama, 1973, Risk, return, and equilibrium: Empirical tests, J. Political Econ., 81, 607, 10.1086/260061
Griffin, 2011, How important is the financial media in global markets?, Rev. Financial Stud., 24, 3941, 10.1093/rfs/hhr099
Hardouvelis, 2006, EMU and European stock market integration, J. Bus., 79, 365, 10.1086/497414
Harris, 2019, Systematic extreme downside risk, J. Int. Financial Markets, Inst. Money, 61, 128, 10.1016/j.intfin.2019.02.007
Harvey, 2000, Conditional skewness in asset pricing tests, J. Finance, 55, 1263, 10.1111/0022-1082.00247
Hofstede, G., 2001. Culture's consequences: Comparing values, behaviors, institutions and organizations across nations. Sage Publications.
Hu, 2018, Political connections and stock price crash risk, China Finance Rev. Int., 8, 140, 10.1108/CFRI-06-2017-0079
Huang, 2015, Political risk and dividend policy: Evidence from international political crises, J. Int. Bus. Stud., 46, 574, 10.1057/jibs.2015.2
Ince, 2006, Individual equity return data from Thomson Datastream: Handle with care!, J. Financial Res., 29, 463, 10.1111/j.1475-6803.2006.00189.x
Jin, 2006, R2 around the world: New theory and new tests, J. Financ. Econ., 79, 257, 10.1016/j.jfineco.2004.11.003
Jondeau, 2019, Average skewness matters, J. Financ. Econ., 134, 29, 10.1016/j.jfineco.2019.03.003
Kim, 2020, Equity market integration and portfolio rebalancing, J. Bank. Finance, 113, 105775, 10.1016/j.jbankfin.2020.105775
Kim, 2014, Financial reporting opacity and expected crash risk: Evidence from implied volatility smirks, Contemp. Account. Res., 31, 851, 10.1111/1911-3846.12048
Kostakis, 2012, Higher co-moments and asset pricing on London Stock Exchange, J. Bank. Finance, 36, 913, 10.1016/j.jbankfin.2011.10.002
Kraus, 1976, Skewness preference and the valuation of risk assets, J. Finance, 31, 1085
Kumar, 2009, Who gambles in the stock market?, J. Finance, 64, 1889, 10.1111/j.1540-6261.2009.01483.x
La Porta, 1998, Law and finance, J. Political Econ., 106, 1113, 10.1086/250042
Lambert, 2013, Comoment risk and stock returns, J. Empirical Finance, 23, 191, 10.1016/j.jempfin.2013.07.001
Lee, 2011, The world price of liquidity risk, J. Financ. Econ., 99, 136, 10.1016/j.jfineco.2010.08.003
L’Her, 2004, Evidence to support the four-factor pricing model from the Canadian stock market, J. Int. Financial Markets, Institutions Money, 14, 313, 10.1016/j.intfin.2003.09.001
Liang, Q., Ling, L., Tang, J., Zeng, H., Zhuang, M., 2019. Managerial overconfidence, firm transparency, and stock price crash risk. China Finance Rev. Int. 10(3), 271–296.
Luo, M., Chen, T., Cai, J., 2019. Stock return predictability when growth and accrual measures are negatively correlated. China Finance Rev. Int. 9(3), 401–422.
Ma, 2019, Risk perceptions and international stock market liquidity, J. Int. Financial Markets, Inst. Money, 62, 94, 10.1016/j.intfin.2019.06.001
Ma, 2020, Whether stock market provides high returns: evidence from skewness of individual stocks in China, China Finance Rev. Int., 11, 185, 10.1108/CFRI-12-2019-0162
Morck, 2000, The information content of stock markets: Why do emerging markets have synchronous stock price movements?, J. Financ. Econ., 58, 215, 10.1016/S0304-405X(00)00071-4
Moshirian, 2017, The determinants and pricing of liquidity commonality around the world, J. Financial Markets, 33, 22, 10.1016/j.finmar.2017.02.004
Newey, 1987, A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation, Econometrica, 55, 703, 10.2307/1913610
Pukthuanthong, 2009, Global market integration: An alternative measure and its application, J. Financ. Econ., 94, 214, 10.1016/j.jfineco.2008.12.004
Ramos, 2020, Liquidity, implied volatility and tail risk: A comparison of liquidity measures, Int. Rev. Financial Anal., 69, 101463, 10.1016/j.irfa.2020.101463
Schmeling, 2009, Investor sentiment and stock returns: Some international evidence, J. Empirical Finance, 16, 394, 10.1016/j.jempfin.2009.01.002
Smith, 2007, Conditional coskewness and asset pricing, J. Empirical Finance, 14, 91, 10.1016/j.jempfin.2006.04.004
Soares, 2009, The accruals anomaly–Can implementable portfolio strategies be developed that are profitable net of transactions costs in the UK?, Account. Bus. Res., 39, 321, 10.1080/00014788.2009.9663371
Yu, 2010, Assessing financial market integration in Asia–equity markets, J. Bank. Finance, 34, 2874, 10.1016/j.jbankfin.2010.02.010
Zhu, 2016, Investor sentiment, accounting information and stock prices: Evidence from China, Pacific-Basin Finance J., 38, 125, 10.1016/j.pacfin.2016.03.010