scholarly journals Pay Getirilerinin Basıklık ve Çarpıklığının İflas ve Temerrüt Olasılıkları Üzerine Etkisi (The Effect of the Skewness and Kurtosis of Stock Returns on the Bankruptcy and Default Probabilities)

2021 ◽  
Vol 4 (13) ◽  
pp. 3310-3325
Author(s):  
Emrah Ahi ◽  
Levent Güntay
Keyword(s):  
Stock Returns ◽  
Skewness And Kurtosis

Realized Skewness and the Return Predictability

2016 ◽  
Vol 24 (1) ◽  
pp. 119-152
Author(s):  
Myounghwa Sim
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Realized Volatility ◽  
Return Predictability ◽  
Higher Moments ◽  
Firm Characteristics ◽  
Realized Variance ◽  
Negative Relation ◽  
Intraday Data ◽  
Skewness And Kurtosis

We explore the cross-section of realized variance, skewness, and kurtosis for stock returns obtained from intraday data. We investigate the properties of the realized higher moments, and more importantly, examine relations between the realized moments and subsequent stock returns. We find evidence of a negative relation between realized skewness and next week’s returns. A strategy buying stocks in the lowest realized skewness quintile and selling stocks in the highest realized skewness quintile earns 0.79 percent per week a risk-adjusted basis. Our results on the realized skewness are robust to controls for various firm characteristics such as size and book-to-market. Little evidence exists that either the realized volatility or the realized kurtosis is significantly related to next week’s returns.

MODELING FINANCIAL SERIES DISTRIBUTIONS: A VERSATILE DATA FITTING APPROACH

2004 ◽  
Vol 07 (03) ◽  
pp. 231-251 ◽  
Author(s):  
JEN S. SHANG ◽  
PANDU R. TADIKAMALLA
Keyword(s):  
Stock Returns ◽  
Cumulative Distribution Function ◽  
Empirical Distribution ◽  
Theoretical Models ◽  
Data Fitting ◽  
Cumulative Distribution ◽  
Flexible Systems ◽  
Empirical Distributions ◽  
Johnson System ◽  
Skewness And Kurtosis

The empirical distribution of common stock returns is a subject of interest to many researchers, as it often determines the validity of theoretical models proposed in the economics and finance studies. This paper brings to the attention the availability of two flexible systems of distributions for fitting data: the Johnson system of distributions and the Tadikamalla–Johnson system of distributions. We explore the feasibility of fitting the empirical distributions of several financial series to these two systems of distributions. Both systems of distributions are highly flexible and capable of accommodating all possible skewness and kurtosis values. The probability density function and the cumulative distribution function take on simple closed forms and appropriate transformations of the data lead to normal/logistic distributions. In addition, the parameter estimation procedures are easy to implement. When the results are compared with those of other data fitting models, in all cases tested, the proposed distributions provide a good fit to the empirical distribution of data.

On the Usefulness of Risk-Neutral Skewness and Kurtosis for Forecasting the Higher Moments of Stock Returns

2016 ◽  
Vol 24 (2) ◽  
pp. 185-220
Author(s):  
Sol Kim
Keyword(s):  
Stock Returns ◽  
Stock Index ◽  
Higher Moments ◽  
Overlapping Data ◽  
Information Contents ◽  
Risk Neutral ◽  
Alternative Measures ◽  
Measures Of Risk ◽  
Skewness And Kurtosis

In this paper, we examine whether the risk neutral skewness and kurtosis from S&P 500 options have information for predicting the higher moments of the stock returns called skewness and kurtosis, which contain the important information for forecasting potential crash, spike upward and the fluctuations of stock index. We find that the implied risk neutral skewness and kurtosis does not provide the information contents for predicting the higher moments of S&P 500 index return, after eliminating the overlapping data. All the results are robust to the alternative measures of risk neutral moments from options prices, the sub-periods and forecasting periods.

Freedom Indices and Capital Asset Pricing Model: Some Malaysian Evidence

2020 ◽  
Vol 1 (1) ◽  
pp. 1-21
Author(s):  
Ying Tay Lee ◽  
Devinaga Rasiah ◽  
Ming Ming Lai
Keyword(s):  
Human Rights ◽  
Asset Pricing ◽  
Stock Returns ◽  
Firm Size ◽  
Explanatory Power ◽  
Least Square ◽  
Press Freedom ◽  
Capital Asset Pricing ◽  
Capital Asset ◽  
Cross Sectional

Human rights and fundamental freedoms such as economic, political, and press freedoms vary widely from country to country. It creates opportunity and risk in investment decisions. Thus, this study is carried out to examine if the explanatory power of the model for capital asset pricing could be improved when these human rights movement indices are included in the model. The sample for this study comprises of 495 stocks listed in Bursa Malaysia, covering the sampling period from 2003 to 2013. The model applied in this study employed the pooled ordinary least square regression estimation. In addition, the robustness of the model is tested by using firm size as a controlled variable. The findings show that market beta as well as the economic and press freedom indices could explain the cross-sectional stock returns of the Malaysian stock market. By controlling the firm size, it adds marginally to the explanation of the extended CAP model which incorporated economic, political, and press freedom indices.

Geographic Concentration of Firm’s Income-Producing Assets and Stock Returns

2018 ◽  
Author(s):  
Stanimira Milcheva ◽  
Yildiray Yildirim ◽  
Zhu Bing
Keyword(s):  
Stock Returns ◽  
Geographic Concentration
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