The Time-varying Risk Premium Coefficient and the Conditional Skewness

Author

Wen, Fenghua ; Xiao, Jinli ; Liu, Zhifeng ; Dai, Zhifeng ; Yang, Xiaoguang

Author_Institution

Sch. of Econ. & Manage., Changsha Univ. of Sci. & Technol., Changsha, China

fYear

2012

fDate

18-21 Aug. 2012

Firstpage

224

Lastpage

228

Abstract

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 a further research, this paper, first taking up the time-varying property of the risk premium coefficient, proposes a GARCHS-M Model with a time-varying coefficient of the risk premium for an empirical study of the correlation between the time-varying skewness in the return distribution and the time-varying risk premium coefficient. The empirical study indicates that the coefficient of the risk premium varies with the time, and even in a mature market the time-varying skewness in the return distribution is negatively correlated with the time-varying coefficient of the risk premium.

Keywords

cost-benefit analysis; investment; risk management; GARCHS-M model; conditional skewness; return distribution; time-varying property; time-varying risk premium coefficient; time-varying skewness; Business; Correlation; Economics; Educational institutions; Electronic mail; Estimation; Mathematical model; GARCHS; conditional skewness; risk premium coefficient;

fLanguage

English

Publisher

ieee

Conference_Titel

Business Intelligence and Financial Engineering (BIFE), 2012 Fifth International Conference on

Conference_Location

Lanzhou

Print_ISBN

978-1-4673-2092-4

Type

conf

DOI

10.1109/BIFE.2012.55

Filename

6305116