我院姜富偉副教授合作論文《美國股市偏度風險對全球金融市場的負面影響》（TheWorld Predictive Power of U.S. Equity Market Skewness Risk）被國際知名期刊《國際貨币與金融雜志》（Journalof International Money and Finance）發表與2019年第96卷。該期刊主要發表國際金融與國際相關領域研究成果，屬于國際金融領域的頂級期刊。
Rubinstein（1973）和Kraus andLitzenberger（1976，1983）最早從理論層面探讨了偏度風險在解釋資産收益中的作用。Harveyand Siddique（2000a，b）提出了三階矩資本資産定價模型（Three-MomentCAPM），并發現預期股票超額回報應包含對條件偏度風險的補償，而且Harveyand Siddique（2000b）發現了條件偏度不僅可以解釋股票預期收益的橫截面變化，而且可以解釋股票市場風險溢價的時間變化。在此基礎上，本文重點研究了美國股市偏度風險對國際市場超額收益的跨國預測能力，從市場偏度風險時間序列的預測能力和偏度風險的跨國傳導對現有文獻進行補充。
本文利用S&P500指數期權價格估計了美國市場的月度偏度風險，定義為每月月底的虛值看跌期權隐含波動率（Out-of-the-MoneyPut-Implied Volatility）減去實值看漲和看跌期權隐含波動率（At-the-MoneyCall and Put-Implied Volatilities）的平均值，并研究了美國股票市場偏度沖擊對澳大利亞、加拿大、法國等11個發達國家市場等值加權（EW）和價值加權（VW）投資組合的預測能力，樣本跨度為1996年1月至2014年8月。研究結果發現，美國股市偏度風險能夠顯著預測8個發達國家股票市場超額收益，即市場偏度風險的降低能夠帶來未來較高的股票市場超額收益，而且這種預測能力在控制其他經濟變量之後結果仍然顯著。
進一步地，本文探讨了美國股票市場偏度風險對其他國家股票超額收益的預測能力的來源。首先，本文發現美國股票市場偏度風險可以顯著地預測美國的經濟狀況，這表明美國市場偏度是美國經濟衰退的一個領先指标，美國和國際市場的投資機會的惡化很可能導緻全球股市出現悲觀情緒和恐慌性抛售。其次，我們發現美國市場偏度顯著地預測當地股票市場的方差和偏度，這兩者都可以看作衡量當地市場條件或投資機會的指标。這些發現都表明美國股票市場偏度風險對其他國家股票市場超額收益的預測能力來自其對國際市場投資機會的影響。此外，本文還利用13個發展中國家或地區的數據驗證了美國市場偏度風險顯著的預測能力。
Asearly as Rubinstein (1973) and Kraus and Litzenberger (1976, 1983), theoreticalstudies in finance explore the role of skewness risk in explaining assetreturns. Harvey and Siddique (2000a,b) propose a three-moment capital assetpricing model (three-moment CAPM) and find that the expected excess stockreturns should contain some compensation for conditional skewness risk. Inparticular, Harvey and Siddique (2000b) demonstrate that conditional skewnesscan explain not only the cross-sectional variation of expected equity returnsbut also the time variation of the equity market risk premium.Inthis study, we focus on the cross-country predictive power of U.S. equitymarket skewness risk on the international market excess returns. Our researchempirically provide new evidence on the time series forecasting power of equitymarket skewness risk and prediction of the time variation of internationalmarket excess returns.
Weestimate the monthly U.S. market skewness from the S&P500 index optionprices, and define monthly skewness as the difference between out-of-the-money(OTM) put-implied volatility and the average at-the-money (ATM) call and put-impliedvolatilities at the end of each month. We test the predictive power of U.S.skewness innovations for 11 industrialized countries, including Australia,Canada, France, Germany, Italy, Japan, Netherlands, Spain, Sweden, Switzerland,and the U.K., and their equal-weighted (EW) and valued-weighted (VW) portfoliosfrom January 1996 to August 2014. Our results show that a large decrease in theU.S. equity market skewness significantly predicts high excess stock returns inthe next month for both the EW and VW portfolios and 8 of the 11 individualcountries, which is consistent with the theoretical prediction of a negativerelationship between expected excess stock returns and conditional skewness.The U.S. equity market skewness has strong incremental predictability forinternational market excess returns, even after controlling for a set offorecasting variables.
Wefurther explore the underlying economic mechanism in terms of whether thepredictability comes from the impact of U.S. market skewness on theinternational investment opportunity set. First, we find that U.S. marketskewness can significantly forecast U.S. economic conditions. Hence, a declinein U.S. market skewness is a leading indicator of a U.S. economic recession,suggesting a deteriorating investment opportunity set in the U.S. andinternationally, which may result in pessimistic sentiment and panic selling inequity markets worldwide. Second, we find that U.S. market skewnesssignificantly predicts local market variance and skewness, both of which can beconsidered as measures of local market conditions or the investment opportunityset. In summary, these results imply that the predictive ability of U.S.skewness for international excess stock returns possibly stems from its impacton the international investment opportunity set.Tocheck the robustness of our results, we also investigate the predictive powerof U.S. market skewness for 13 emerging markets.
