Skewness preference across countries

Adam Zaremba , Andrzej Nowak

Abstract

Prospect theory implies that assets with positively skewed returns should be traded at premium to assets with negative skewness. We hypothesize that in the integrated financial markets this concept should also hold for the entire country equity portfolios. This article examines the linkages between the country-level expected returns and past skewness. We evidence a robust negative relationship between skewness and future returns. The phenomenon is most significant within large, liquid, developed, and open stock markets. Additional sorts on skewness can improve performance of both cross-country value and momentum strategies. The study is based on the sorting and cross-sectional tests conducted within a sample of 78 country equity markets for years 1999-2014.
Author Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
, Andrzej Nowak (UEP)
Andrzej Nowak,,
- Poznań University of Economics and Business
Journal seriesBusiness and Economic Horizons, ISSN 1804-1205, e-ISSN 1804-5006, (B 8 pkt)
Issue year2015
Vol11
No2
Pages115-130
Publication size in sheets0.75
Keywords in EnglishSkewness preference, country-level effects, intermarket effects, asset pricing, international markets
ASJC Classification1403 Business and International Management; 2000 General Economics, Econometrics and Finance
DOIDOI:10.15208/beh.2015.09
URL http://academicpublishingplatforms.com/article.php?journal=BEH&number=18&article=2190
Languageen angielski
Score (nominal)8
Score sourcejournalList
ScoreMinisterial score = 0.0, 08-01-2020, ArticleFromJournal
Ministerial score (2013-2016) = 8.0, 08-01-2020, ArticleFromJournal
Publication indicators WoS Citations = 4; Scopus SNIP (Source Normalised Impact per Paper): 2015 = 0.331
Citation count*8 (2020-06-25)
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* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.
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