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Importance of Skewness in Investor Utility: Evidence from the Chinese Stock Markets
Patrick Kuok Kun
2017
Source PublicationJournal of Mathematical Finance
ISSN‎2162-2434
Volume7Pages:881-895
Abstract

The goal of this study is to evaluate the importance of skewness in investor utility when predicting stock market return by financial ratio variable. We use the daily time series of four major stock market indices of Shanghai Stock Exchanges and Shenzhen Stock Exchanges. We find evidence of predictability of price-to-earnings ratio and price-to-book ratio on the market returns. Using the evidence of predictability, we find evidence that including skewness leads higher utility. The comparison among different ways to calculate the skewness indicate the calculation method mostly used in popular statistical software may lead to the highest utility.

KeywordSkewness Market Returns Investor Utility Predictive Regression
DOI10.4236/jmf.2017.74047
Language英语
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Document TypeJournal article
CollectionFaculty of Business Administration
DEPARTMENT OF ACCOUNTING AND INFORMATION MANAGEMENT
AffiliationUniversity of Macau, Macau SAR, China
First Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Patrick Kuok Kun. Importance of Skewness in Investor Utility: Evidence from the Chinese Stock Markets[J]. Journal of Mathematical Finance,2017,7:881-895.
APA Patrick Kuok Kun.(2017).Importance of Skewness in Investor Utility: Evidence from the Chinese Stock Markets.Journal of Mathematical Finance,7,881-895.
MLA Patrick Kuok Kun."Importance of Skewness in Investor Utility: Evidence from the Chinese Stock Markets".Journal of Mathematical Finance 7(2017):881-895.
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