Time-Varying Risk Attitude and Conditional Skewness
Much literature finds that the skewness in the return distribution is negatively correlated with the risk premium coefficient, and speculation is the reason for the skewness in the return distribution. As further research, this paper, first taking up the time-varying property of the risk premium coe...
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Series: | Abstract and Applied Analysis |
Online Access: | http://dx.doi.org/10.1155/2014/174848 |
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doaj-68ac86274a284ce79be848e13f37bebb2020-11-24T23:10:29ZengHindawi LimitedAbstract and Applied Analysis1085-33751687-04092014-01-01201410.1155/2014/174848174848Time-Varying Risk Attitude and Conditional SkewnessZhifeng Liu0Tingting Zhang1Fenghua Wen2College of Management and Economics, Tianjin University, Tianjin 300072, ChinaCollege of Management and Economics, Tianjin University, Tianjin 300072, ChinaBusiness School, Central South University, Changsha 410012, ChinaMuch literature finds that the skewness in the return distribution is negatively correlated with the risk premium coefficient, and speculation is the reason for the skewness in the return distribution. As further research, this paper, first taking up the time-varying property of the risk premium coefficient, proposes a GARCH-M model with a time-varying coefficient of the risk premium for an empirical study of the correlation between the conditional skewness in the return distribution and the time-varying risk attitude. The empirical study indicates that the coefficient of the risk premium varies with the time, and even in a mature market the conditional skewness in the return distribution is negatively correlated with the time-varying coefficient of the risk premium.http://dx.doi.org/10.1155/2014/174848 |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Zhifeng Liu Tingting Zhang Fenghua Wen |
spellingShingle |
Zhifeng Liu Tingting Zhang Fenghua Wen Time-Varying Risk Attitude and Conditional Skewness Abstract and Applied Analysis |
author_facet |
Zhifeng Liu Tingting Zhang Fenghua Wen |
author_sort |
Zhifeng Liu |
title |
Time-Varying Risk Attitude and Conditional Skewness |
title_short |
Time-Varying Risk Attitude and Conditional Skewness |
title_full |
Time-Varying Risk Attitude and Conditional Skewness |
title_fullStr |
Time-Varying Risk Attitude and Conditional Skewness |
title_full_unstemmed |
Time-Varying Risk Attitude and Conditional Skewness |
title_sort |
time-varying risk attitude and conditional skewness |
publisher |
Hindawi Limited |
series |
Abstract and Applied Analysis |
issn |
1085-3375 1687-0409 |
publishDate |
2014-01-01 |
description |
Much literature finds that the skewness in the return distribution is negatively correlated with the risk premium coefficient, and speculation is the reason for the skewness in the return distribution. As further research, this paper, first taking up the time-varying property of the risk premium coefficient, proposes a GARCH-M model with a time-varying coefficient of the risk premium for an empirical study of the correlation between the conditional skewness in the return distribution and the time-varying risk attitude. The empirical study indicates that the coefficient of the risk premium varies with the time, and even in a mature market the conditional skewness in the return distribution is negatively correlated with the time-varying coefficient of the risk premium. |
url |
http://dx.doi.org/10.1155/2014/174848 |
work_keys_str_mv |
AT zhifengliu timevaryingriskattitudeandconditionalskewness AT tingtingzhang timevaryingriskattitudeandconditionalskewness AT fenghuawen timevaryingriskattitudeandconditionalskewness |
_version_ |
1725607086071480320 |