Modelling conditional skewness: Heterogeneous beliefs, short sale restrictions and market declines

Wai Yan Shum

The North American Journal of Economics and Finance, 2020, vol. 51, issue C

Abstract: This paper tests the relationship among heterogeneous beliefs, short sale restrictions and time-varying conditional skewness under different market conditions. The results show that heterogeneous beliefs and short sale restrictions have negative impacts on conditional skewness during periods of market decline but have negative, positive or no impacts during periods of market growth. This evidence reconciles conflicting evidence in recent empirical studies on the relationship among heterogeneous beliefs, short sale restrictions and conditional skewness.

Keywords: Conditional skewness; Short sale restrictions; Heterogeneous beliefs; Market declines (search for similar items in EconPapers)
JEL-codes: C0 C1 C5 G0 G1 G4 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300774

DOI: 10.1016/j.najef.2019.101070

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