| Status | 已發表Published |
| China vs. U.S.: Are higher co-moment risks priced differently? | |
Lam, S. K. ; Dong, L. ; Kot, H. W.
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| 2018-12-01 | |
| Source Publication | The 31st Australasian Finance and Banking Conference
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| Abstract | We investigate the role of higher co-moments in pricing stock returns in the Chinese and U.S. markets. In both markets, co-skewness is priced with a negative premium, while the role of co-kurtosis is mixed. The factor-adjusted co-skewness effect is -7.23% per year in China and -3.67% per year in the U.S. The negative co-skewness effect coexists with other higher-moment-related pricing effects. Finally, using the split share structure reform in China and Regulation Fair Disclosure and the Sarbanes–Oxley Act in the U.S. as natural experiments, we find that improvement in the information environment greatly enhances the co-skewness pricing effect. |
| Keyword | Co-skewness Co-kurtosis China U.S. information environment |
| Language | 英語English |
| The Source to Article | PB_Publication |
| PUB ID | 45464 |
| Document Type | Conference paper |
| Collection | DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS |
| Corresponding Author | Lam, S. K. |
| Recommended Citation GB/T 7714 | Lam, S. K.,Dong, L.,Kot, H. W.. China vs. U.S.: Are higher co-moment risks priced differently?[C], 2018. |
| APA | Lam, S. K.., Dong, L.., & Kot, H. W. (2018). China vs. U.S.: Are higher co-moment risks priced differently?. The 31st Australasian Finance and Banking Conference. |
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