| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5069425 | Finance Research Letters | 2015 | 8 Pages |
Abstract
Many asset pricing studies assume that a stock's coskewness or idiosyncratic skewness is priced because of the characteristic's influence on portfolio skewness. From empirical returns, we show that the number of stocks in a portfolio is the most important determinant of portfolio skewness, while component stocks' coskewness or idiosyncratic skewness has marginal effects. This result indicates that individual stock skewness does not well represent portfolio skewness.
Keywords
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Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Thomas Kim,