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Does individual-stock skewness/coskewness reflect portfolio risk?

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  • Kim, Thomas

Abstract

Many asset pricing studies assume that a stock's coskewness or idiosyncratic skewness is priced because of the characteristic's influence on portfolio skewness. From empirical returns, we show that the number of stocks in a portfolio is the most important determinant of portfolio skewness, while component stocks' coskewness or idiosyncratic skewness has marginal effects. This result indicates that individual stock skewness does not well represent portfolio skewness.

Suggested Citation

  • Kim, Thomas, 2015. "Does individual-stock skewness/coskewness reflect portfolio risk?," Finance Research Letters, Elsevier, vol. 15(C), pages 167-174.
    • Handle: RePEc:eee:finlet:v:15:y:2015:i:c:p:167-174
    DOI: 10.1016/j.frl.2015.09.007
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    References listed on IDEAS

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    Cited by:

    1. Yong-Jun Liu & Wei-Guo Zhang, 2019. "Possibilistic Moment Models for Multi-period Portfolio Selection with Fuzzy Returns," Computational Economics, Springer;Society for Computational Economics, vol. 53(4), pages 1657-1686, April.

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    More about this item

    Keywords

    Diversification; Portfolio skewness; Co-skewness; Idiosyncratic skewness;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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