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Open AccessArticle

Skewness Preference and Asset Pricing: Evidence from the Japanese Stock Market

Department of Economics and Management, Gustavus Adolphus College, 800 W. College Ave., Saint Peter, MN 56082, USA
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J. Risk Financial Manag. 2019, 12(3), 149; https://doi.org/10.3390/jrfm12030149
Received: 20 June 2019 / Revised: 3 September 2019 / Accepted: 10 September 2019 / Published: 12 September 2019
(This article belongs to the Collection Empirical Finance Research)
Previous studies have shown that investor preference for positive skewness creates a potential premium on negatively skewed assets. In this paper, we attempt to explore the connection between investors’ skewness preferences and corresponding demand for a risk premium on asset returns. Using data from the Japanese stock market, we empirically study the significance of risk aversion with skewness preference that potentially delivers a premium. Compared to studies on other stock markets, our finding suggests that Japanese investors exhibit preference for positively skewed assets, but do not display dislike for ones that are negatively skewed. This implies that investors from different countries having dissimilar attitudes toward risk may possess different preferences toward positive skewness, which would result in a different magnitude of expected risk premium on negatively skewed assets. View Full-Text
Keywords: asset pricing; higher moment estimators; Japanese stock market; risk preferences; systematic skewness asset pricing; higher moment estimators; Japanese stock market; risk preferences; systematic skewness
MDPI and ACS Style

Yang, S.-P.; Nguyen, T. Skewness Preference and Asset Pricing: Evidence from the Japanese Stock Market. J. Risk Financial Manag. 2019, 12, 149. https://doi.org/10.3390/jrfm12030149

AMA Style

Yang S-P, Nguyen T. Skewness Preference and Asset Pricing: Evidence from the Japanese Stock Market. Journal of Risk and Financial Management. 2019; 12(3):149. https://doi.org/10.3390/jrfm12030149

Chicago/Turabian Style

Yang, Sheng-Ping; Nguyen, Thanh. 2019. "Skewness Preference and Asset Pricing: Evidence from the Japanese Stock Market" J. Risk Financial Manag. 12, no. 3: 149. https://doi.org/10.3390/jrfm12030149

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Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

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