March 2022
Intermediate to advanced
294 pages
16h 47m
English
Nanjing University of Science and Technology, Nanjing, Jiangsu, China
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 ...