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

Liang Dong1, Hung Wan Kot2, Keith S.K. Lam2, Ming Liu3
1Hunan University of Technology and Business, Changsha, China
2Department of Finance and Business Economics, Faculty of Business Administration, University of Macau, Macau, China
3Department of Accounting and Information Management, Faculty of Business Administration, University of Macau, Macau, China

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