方差风险、偏度风险与市场收益率的可预测性
Variance Risk, Skewness Risk and Market Return Predictability
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
| Original language | Chinese (Simplified) |
|---|---|
| Pages (from-to) | 795-818 |
| Journal / Publication | 经济学（季刊） |
| Volume | 22 |
| Issue number | 3 (总第 88) |
| Publication status | Published - May 2022 |
Link(s)
| DOI | DOI |
|---|---|
| Permanent Link | https://scholars.cityu.edu.hk/en/publications/publication(1012ac43-4a9c-4a57-8ac4-fb3c8a23aef7).html |
Abstract
本文采用同期贝塔法探究中国市场上方差风险溢酬和偏度风险溢酬对市场收益率的预测效果。针对Pyun (2019)的模型只考虑方差风险的缺陷及其在中国市场应用时效果不佳的问题，本文在其基础上引入偏度风险，通过模型建立市场预期收益率与方差风险溢酬和偏度风险溢酬之间的理论关系，并拓展原始的同期贝塔法。实证结果显示，在同期贝塔法框架下，比起只考虑方差风险或偏度风险，同时考虑这两种风险可以大大提高对市场收益率的预测效果。
Research Area(s)
- 同期贝塔法, 方差风险和偏度风险, 市场收益率预测, Contemporaneous beta approach, variance risk and skewness risk, market return predictability
