Does individual-stock skewness/coskewness reflect portfolio risk?

Thomas Kim

Finance Research Letters, 2015, vol. 15, issue C, 167-174

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.

Keywords: Diversification; Portfolio skewness; Co-skewness; Idiosyncratic skewness (search for similar items in EconPapers)
JEL-codes: G10 G11 G12 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:15:y:2015:i:c:p:167-174

DOI: 10.1016/j.frl.2015.09.007

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