The Relationship between Corporate Characteristics and Conditional Skewness : Evidence from Taiwan Stock Market

• Main Authors: Chia-Yu Chang, 張家瑜
• Other Authors: Jian-Hsin Chou
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/3vz7t2

碩士 === 國立高雄第一科技大學 === 運籌管理系企業管理碩士班 === 102 === The normal distribution of stock returns is most commonly adopted in traditional portfolio theory. However, it is well documented that stock returns are asymmetrically distributed. In this study, it is based on a sample of stock return among Taiwan market from 2011 to 2013 to show the difference of skewness of stock return. We adopt the leverage ratio, the P/B ratio, the cumulative return over the same 1 year, the turnover, the logarithm of companies assets, and the TCRI. The empirical results show the stock return is positive skewness in Taiwan market. In addition, the higher leverage ratio and the cumulative return lead to more positively skewed. We also find that stock return that have higher turnover and larger companies assets have lower positive skewness. We use TCRI to measures the stock return distribution. And the lower score of TCRI is, the better credit rank will be. We find that companies with better credit rank also have greater negative skewness. Hence, we conclude credit rank is one of reasons to affect the stock return skewness in Taiwan market.