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Market Skewness and Stock Return Predictability: New Evidence from China.
- Source :
- Emerging Markets Finance & Trade; 2024, Vol. 60 Issue 2, p233-244, 12p
- Publication Year :
- 2024
-
Abstract
- Market skewness is an important indicator of market risk. We decompose market skewness into good and bad skewness and further study the relationship between various skewness and the stock market returns in China. Empirical results show that good skewness can significantly predict stock market returns in- and out-of-sample. Furthermore, compared to macroeconomic variables and variance variables, good skewness can provide complementary or dominant information. We also find that good skewness can provide helpful information in predicting stock market returns beyond what market skewness and bad skewness provide. A mean-variance investor can obtain sizable economic gains by using good skewness. The economic source of predictability is the cash flow channel. [ABSTRACT FROM AUTHOR]
- Subjects :
- RATE of return on stocks
CHANNEL flow
CASH flow
ASSET allocation
Subjects
Details
- Language :
- English
- ISSN :
- 1540496X
- Volume :
- 60
- Issue :
- 2
- Database :
- Complementary Index
- Journal :
- Emerging Markets Finance & Trade
- Publication Type :
- Academic Journal
- Accession number :
- 174878729
- Full Text :
- https://doi.org/10.1080/1540496X.2023.2217327