skewness preference
Recently Published Documents


TOTAL DOCUMENTS

42
(FIVE YEARS 1)

H-INDEX

9
(FIVE YEARS 0)

2021 ◽  
pp. jpm.2021.1.295
Author(s):  
Xiang Gao ◽  
Kees G. Koedijk ◽  
Zhan Wang
Keyword(s):  

2019 ◽  
Vol 109 ◽  
pp. 105675 ◽  
Author(s):  
Sebastian Ebert ◽  
Christian Hilpert

2019 ◽  
Vol 12 (3) ◽  
pp. 149
Author(s):  
Yang ◽  
Nguyen

Previous studies have shown that investor preference for positive skewness creates a potential premium on negatively skewed assets. In this paper, we attempt to explore the connection between investors’ skewness preferences and corresponding demand for a risk premium on asset returns. Using data from the Japanese stock market, we empirically study the significance of risk aversion with skewness preference that potentially delivers a premium. Compared to studies on other stock markets, our finding suggests that Japanese investors exhibit preference for positively skewed assets, but do not display dislike for ones that are negatively skewed. This implies that investors from different countries having dissimilar attitudes toward risk may possess different preferences toward positive skewness, which would result in a different magnitude of expected risk premium on negatively skewed assets.


2019 ◽  
Vol 19 (11) ◽  
pp. 1905-1919
Author(s):  
Congming Mu ◽  
Weidong Tian ◽  
Jinqiang Yang

Author(s):  
Alok Kumar ◽  
Mehrshad Motahari ◽  
Richard Taffler

2016 ◽  
Vol 5 (2) ◽  
pp. 200-238 ◽  
Author(s):  
Don M. Autore ◽  
Jared R. DeLisle

We find that the degree of expected idiosyncratic skewness in seasoned equity issuers’ stock returns is an important determinant of flotation costs and subsequent abnormal stock performance. High skewness issuers incur significantly greater offer price discounts, particularly when institutional share allocation is largest, pay higher gross underwriting spreads, and exhibit poorer stock performance in the three years after issuance, all compared to low skewness issuers. These results suggest that skewness-induced overpricing increases the flotation costs of seasoned equity offers and leads to poor subsequent stock performance. Received November 18, 2014; accepted December 17, 2015 by Editor Paolo Fulghieri.


Sign in / Sign up

Export Citation Format

Share Document