We examine the cross-sectional variation of conditional skewness in the daily
returns of world stock market indexes. Using stock index and corporate governance
data from 38 countries, we find that negative skewness is most profound in stock
markets that have the highest score on the property rights index complied by La
Porta et al. (1998). This evidence is consistent with the discretionary-disclosure
hypothesis proposed by Chen, Hong, and Stein (2001) and Trueman (1997). The result
is robust to a variety of regression specifications. In addition, when dollar
returns are used, negative skewness is positively correlated with past one-year
cumulative returns, which appears to be consistent with the stochastic-bubble
hypothesis suggested by Blanchard and Watson (1982).
학술대회/행사
학술대회안내
[2002년 제 4차] Corporate Governance and Conditional Skewness
작성자 : 관리자
조회수 : 1018
게시일 :
2003-07-12