横向偏态

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2021-10-04 DOI:10.1093/rapstu/raab023

Oh S, Wachter J, Chen H.

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引用次数: 0

摘要

摘要哪一种分布最能表征个股收益的时间序列和横截面?为了回答这个问题，我们估计了相对于一个基准的横截面回报偏度的程度，该基准包含了文献中考虑的许多模型。我们发现，月度收益的横截面偏度远远超出了这个基准模型的预测。然而，数据中长期回报的横截面偏度大大低于模型预测的。我们表明，肥尾特异事件似乎是解释数据偏态的必要条件。(凝胶，g10, g11, g12, g13, g14)。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Cross-Sectional Skewness

Abstract

What distribution best characterizes the time series and cross-section of individual stock returns? To answer this question, we estimate the degree of cross-sectional return skewness relative to a benchmark that nests many models considered in the literature. We find that cross-sectional skewness in monthly returns far exceeds what this benchmark model predicts. However, cross-sectional skewness in long-run returns in the data is substantially below what the model predicts. We show that fat-tailed idiosyncratic events appear to be necessary to explain skewness in the data. (JEL, G10, G11, G12, G13, G14).

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来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.