Title :
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
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;
Conference_Titel :
Business Intelligence and Financial Engineering (BIFE), 2012 Fifth International Conference on
Conference_Location :
Lanzhou
Print_ISBN :
978-1-4673-2092-4
DOI :
10.1109/BIFE.2012.55
