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Economic and Business Management
book

Economic and Business Management

by Xiaoxia Huang, Feng Zhang
March 2022
Intermediate to advanced content levelIntermediate to advanced
294 pages
16h 47m
English
CRC Press
Content preview from Economic and Business Management

An empirical study of skewness on stock returns forecast

Cancan Yang & Yucan Liu

Nanjing University of Science and Technology, Nanjing, Jiangsu, China

DOI: 10.1201/9781003203704-32

ABSTRACT: The traditional CAPM model assumes that the returns on the securities market strictly follow a normal distribution, and the actual securities returns tend to exhibit asymmetric characteristics, so higher-moment risk factor should also be included in the pricing model. This article aims to investigate the role of stock skewness in predicting excess returns. It selects monthly data of A-shares in the Shanghai and Shenzhen stock markets from January 2005 to December 2019, and uses Fama and MacBeth regression to analyze the constructed prediction model. The ...

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Publisher Resources

ISBN: 9781000581621