Conditional Skewness in Asset Pricing- Empirical Study From Taiwan Security Market

• Main Authors: Chia-Hua Wu, 吳家華
• Other Authors: 黃文光
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/41160359080078382554

碩士 === 淡江大學 === 財務金融學系碩士班 === 95 === If asset returns have systematic skewness, expected returns should include rewards for accepting this risk. The goal of this paper is to examine the linkage between the empirical evidence on these additional factors and systematic coskewness. Our study is to take the excess return of Taiwan Security Market as the dependent variable, and form some factor models by extending the factor models of Fama and French(1993) and the factor model of Kuang-Ping Ku(2005). We also test the co-skewness is helpful to capital asset pricing model by means of R2 and joint test of GRS. The empirical results indicate that conditional skewness has significantly effect on each factor model, and help to increase the explanation of the common time-series variation in returns. We also find that the co-skewness is helpful to the cross-sectional variation of expected returns.