太阳官网姜富伟副教授合作论文《美国股市偏度风险对全球金融市场的负面影响》（TheWorld Predictive Power of U.S. Equity Market Skewness Risk）被国际知名期刊《国际货币与金融杂志》（Journalof International Money and Finance）发表与2019年第96卷。该期刊主要发表国际金融与国际相关领域研究成果，属于国际金融领域的顶级期刊。
Rubinstein（1973）和Kraus andLitzenberger（1976，1983）最早从理论层面探讨了偏度风险在解释资产收益中的作用。Harveyand Siddique（2000a，b）提出了三阶矩资本资产定价模型（Three-MomentCAPM），并发现预期股票超额回报应包含对条件偏度风险的补偿，而且Harveyand Siddique（2000b）发现了条件偏度不仅可以解释股票预期收益的横截面变化，而且可以解释股票市场风险溢价的时间变化。在此基础上，本文重点研究了美国股市偏度风险对国际市场超额收益的跨国预测能力，从市场偏度风险时间序列的预测能力和偏度风险的跨国传导对现有文献进行补充。
本文利用S&P500指数期权价格估计了美国市场的月度偏度风险，定义为每月月底的虚值看跌期权隐含波动率（Out-of-the-MoneyPut-Implied Volatility）减去实值看涨和看跌期权隐含波动率（At-the-MoneyCall and Put-Implied Volatilities）的平均值，并研究了美国股票市场偏度冲击对澳大利亚、加拿大、法国等11个发达国家市场等值加权（EW）和价值加权（VW）投资组合的预测能力，样本跨度为1996年1月至2014年8月。研究结果发现，美国股市偏度风险能够显著预测8个发达国家股票市场超额收益，即市场偏度风险的降低能够带来未来较高的股票市场超额收益，而且这种预测能力在控制其他经济变量之后结果仍然显著。
进一步地，本文探讨了美国股票市场偏度风险对其他国家股票超额收益的预测能力的来源。首先，本文发现美国股票市场偏度风险可以显著地预测美国的经济状况，这表明美国市场偏度是美国经济衰退的一个领先指标，美国和国际市场的投资机会的恶化很可能导致全球股市出现悲观情绪和恐慌性抛售。其次，我们发现美国市场偏度显著地预测当地股票市场的方差和偏度，这两者都可以看作衡量当地市场条件或投资机会的指标。这些发现都表明美国股票市场偏度风险对其他国家股票市场超额收益的预测能力来自其对国际市场投资机会的影响。此外，本文还利用13个发展中国家或地区的数据验证了美国市场偏度风险显著的预测能力。
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.
