计量经济分析 = Econometric analysis

If asset returns have systematic skewness, expected returns should include rewards for accepting this risk. We formalize this intuition with an asset pricing model that incorporates conditional skewness. Our results show that conditional skewness helps explain the cross-sectional variation of expected returns across assets and is significant even when factors based on size and book-to-market are included. Systematic skewness is economically important and commands a risk premium, on average, of 3.60 percent per year. Our results suggest that the momentum effect is related to systematic skewness. The low expected return momentum portfolios have higher skewness than high expected return portfolios.

/pdf/conditional-skewness-in-asset-pricing-tests-3bq6pue1a4.pdf

Conditional Skewness in Asset Pricing Tests

http://finance.martinsewell.com/stylized-facts/volatility/Andersen-etal2001a.pdf

The distribution of realized stock return volatility

We discuss and explore the effects of internationalization, an entrepreneurial strategy employed by small and medium-sized enterprises (SMEs), on firm performance. Using concepts derived from the international business and entrepreneurship literatures, we develop four hypotheses that relate the extent of foreign direct investment (FDI) and exporting activity, and the relative use of alliances, to the corporate performance of internationalizing SMEs. Using a sample of 164 Japanese SMEs to test these hypotheses, we find that the positive impact of internationalization on performance extends primarily from the extent of a firm's FDI activity. We also find evidence consistent with the perspective that firms face a liability of foreignness. When firms first begin FDI activity, profitability declines, but greater levels of FDI are associated with higher performance. Exporting moderates the relationship FDI has with performance, as pursuing a strategy of high exporting concurrent with high FDI is less profitable than one that involves lower levels of exports when FDI levels are high. Finally, we find that alliances with partners with local knowledge can be an effective strategy to overcome the deficiencies SMEs face in resources and capabilities, when they expand into international markets. Copyright © 2001 John Wiley & Sons, Ltd.

The internationalization and performance of SMEs

The basic paradigm of asset pricing is in vibrant f lux. The purely rational approach is being subsumed by a broader approach based upon the psychology of investors. In this approach, security expected returns are determined by both risk and misvaluation. This survey sketches a framework for understanding decision biases, evaluates the a priori arguments and the capital market evidence bearing on the importance of investor psychology for security prices, and reviews recent models.

/pdf/investor-psychology-and-asset-pricing-c95w5p60ck.pdf

Investor Psychology and Asset Pricing

This article compares econometric model specifications that have been proposed to explain the commonly observed characteristics of the unconditional distribution of daily stock returns. The empirical results indicate that the most likely ranking is (1) intertemporal dependence models, (2) Student t, (3) generalized mixture-of-normal distributions, (4) Poisson jump, and (5) the stationary normal. Among the intertemporal dependence models for conditional heteroscedasticity, those with a leverage (or asymmetry) effect are superior. The Glosten, Jagannathan, and Runkle specification is the most descriptive for individual stocks, while Nelson's exponential model is the most likely for stock indexes. Copyright 1994 by University of Chicago Press.

Alternative Models for the Conditional Heteroscedasticity of Stock Returns

Recent research has documented the failure of market beta to capture the cross-section of expected returns within the context of a two-pass estimation methodology. However, the two-pass methodology suffers from the errors-in-variables (EIV) problem that could attenuate the apparent significance of market beta. This article provides a new correction for the EIV problem that is robust to conditional heteroscedasticity. After the correction, I find more support for the role of market beta and less support for the role of firm size in explaining the cross-section of expected returns. While the EIV correction leads to a diminished role of firm size, the size variable remains a significant force in explaining the cross-section of expected returns.

https://www.jstor.org/stable/pdfplus/2329328.pdf

The Errors in the Variables Problem in the Cross‐Section of Expected Stock Returns

By using an extensive dataset of more than 32 million messages on 91 firms posted on the Yahoo! Finance message board over the period January 2005 to December 2010, we examine whether investor sentiment as expressed in posted messages has predictive power for stock returns, volatility, and trading volume. In intertemporal and cross-sectional regression analyses, we find no evidence that investor sentiment forecasts future stock returns either at the aggregate or at the individual firm level. Rather, we find evidence that investor sentiment is positively affected by prior stock price performance. We also find no significant evidence that investor sentiment from Internet postings has predictive power for volatility and trading volume. A distinctive feature of our study is the use of sentiment information explicitly revealed by retail investors as well as classified by a machine learning classification algorithm and a much longer sample period relative to prior studies.

https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID2536160_code17898.pdf?abstractid=2423752&mirid=1

Investor Sentiment from Internet Message Postings and Predictability of Stock Returns

This study examines whether and how earnings quality, measured as accruals quality (AQ), affects the cost of equity capital. Using two-stage cross-sectional regression tests, we find that the AQ risk factor is significantly priced, after controlling for low-priced stocks. This result is robust in tests using individual stocks, various portfolio formations, and different beta estimations. Furthermore, we show that AQ and its pricing effect systematically vary with business cycles and macroeconomic variables. In particular, this pricing effect is prominent in total AQ and innate AQ but not in discretionary AQ. The risk premium associated with AQ exists only in economic expansion but not in recession periods. Poorer AQ firms are more vulnerable to macroeconomic shocks. The risk premium and the dispersion of AQ are also related to future economic activity. Overall, our results suggest that AQ contributes to the cost of equity capital and that its pricing effect is associated with fundamental risk.

Dongcheol Kim

Papers

Alternative Models for the Conditional Heteroscedasticity of Stock Returns

The Errors in the Variables Problem in the Cross‐Section of Expected Stock Returns

Investor Sentiment from Internet Message Postings and Predictability of Stock Returns

Accruals Quality, Stock Returns, and Macroeconomic Conditions

Market valuation of joint ventures: Joint venture characteristics and wealth gains