Identify the Risk Factor in Asset Pricing: Total Skewness in Chinese Stock Markets

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Identify the Risk Factor in Asset Pricing: Total Skewness in Chinese Stock Markets

Prior studies on the skewness in the return distribution mainly focus on the two parts—the determinants of skewness and the implication of the skewness. The empirical researches find that expected skewness has a negative effect on the stock returns, and most studies are conducted with U.S. market da...

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Bibliographic Details
Main Author:	Yang, Mei
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2009
Online Access:	https://eprints.nottingham.ac.uk/23145/

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