A Study On The Premium Of Expected Idiosyncratic Skewness Based On The Chinese Stock Markert

Many empirical studies have shown that unsystematic risk does have an impact on expected return.In reality,investors cannot or do not want to hold a fully dispersed portfolio,resulting in non-systemic risk will also have a certain risk premium.The paper studies a non-systemic risk premium that is the premium of expected idiosyncratic skewness.Idiosyncratic skewness refers to the stock idiosyncratic yield distribution showing the degree of skewness,that is,stocks soared or stocks plummeted phenomenon.On the one hand,the phenomenon of stocks soaring and falling is a problem that affects the stability of China's capital market.Research itself has very important practical significance.On the other hand,the expected idiosyncratic skewness pricing stems from higher order moment asset pricing theory and nonsystematic risk pricing.The research has certain theoretical significance to asset pricing theory system.At present,the research on premium of expected idiosyncratic skewness is mainly to analyze its existence,but the research on its reason is rare.According to the Chinese stock market data and market characteristics,this paper attempts to answer questions about the source of the premium of expected idiosyncratic skewness.Prior to study the premium of expected the idiosyncratic skewness,we have to analyze and calculate expected idiosyncratic skewness.Therefore,based on the time series and cross-sectional characteristics of Chinese stock market,this paper constructs a expected the idiosyncratic skewness model for Chinese stock market.Then,through the separation of "stocks slump" and "stocks soaring" from the "expected the idiosyncratic skewness",we can research on the theory of the premium of expected the idiosyncratic of skewness by using portfolio analysis and Fama-Macbeth regression.We found the existence of premium of expected the idiosyncratic skewness in Chinese stock market.Expected idiosyncratic skewness was negatively correlated with expected return,and remained significant after controlling for market risk,firm size,book market capitalization ratio and other factors.In addition,after the separation of the expected the idiosyncratic skewness information,we found that premium of expected the idiosyncratic skewness contains both "the risk compensation" and the "gambling preference premium",both of which affect the stock's expected return.But comparing to the “gambling preference premium ",the "risk compensation" may be the main source of the premium of expected the idiosyncratic skewness.Based on the above conclusions,we believe that to control the speculative of China's stock market,we need to strengthen the supervision of listed companies,and educate investors pay attention to the risk of speculative stock.Encouraging the development of institutional investors by introduce of external regulatory to achieve transparency of listed companies.Attach importance to the means of publicity ? education,guiding investors form a correct investment philosophy.Make investors realize that the "gambling behavior" is at the expense of long-term interests.