SKEWNESS OF RETURN DISTRIBUTION AND COEFFICIENT OF RISK PREMIUM  

作　　者：Fenghua WEN Xiaoguang YANG 

机构地区：[1]School of Economics and Management, Changsha University of Science and Technology, Changsha 410076,China. [2]School of Economics and Management, Changsha University of Science and Technology, Changsha 410076,China Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China.

出　　处：《Journal of Systems Science & Complexity》2009年第3期360-371,共12页系统科学与复杂性学报（英文版）

基　　金：supported by China Natural Science Foundation (70701035, 70425004 and 70221001);Hunan Natural Science Foundation (09JJ1010);the Key Research Institute of Philosophies;Social Sciences in Hunan Universities

摘　　要：The skewness of the return distribution is one of the important features of the security price.In this paper,the authors try to explore the relationship between the skewness and the coefficient ofrisk premium.The coefficient of the risk premium is estimated by a GARCH-M model,and the robustmeasurement of skewness is calculated by Groeneveld-Meeden method.The empirical evidences forthe composite indexes from 33 securities markets in the world indicate that the risk compensationrequirement in the market where the return distribution is positively skewed is virtually zero,andthe risk compensation requirement is positive in a significant level in the market where the returndistribution is negative skewed.Moreover,the skewness is negatively correlated with the coefficient ofthe risk premium.

关 键 词：Coefficient of risk premium return distribution robust skewness speculation. 

分 类 号：F832.5[经济管理—金融学] F275.4