ABSTRACT

The historical skewness of stock return distributions could potentially affect future stock returns. Previous studies in developed markets have shown that investors prefer shares exhibiting positively skewed or ‘lottery-like’ payoff profiles. The higher demand for these shares results in a negative relationship between skewness and expected stock returns. This study investigates the extent to which asymmetrical returns are priced on the Johannesburg Stock Exchange over the period August 2002 to December 2019. Using portfolio-level analysis, this study analyses the returns of quintile portfolios sorted on past self-skewness. Risk-adjusted returns are evaluated against an equally weighted benchmark. In addition, the presence of a monotonic relationship between past self-skewness and future returns is tested with the monotonic relation test of Patton and Timmermann (2010), as well as the Wolak (1987, 1989) test. Unlike the developed market evidence, this study finds evidence of a positive relationship between past self-skewness and future returns on the JSE. This effect remains even after controlling for size and industry effects. The results suggest that positive skewness is rewarded on a risk-adjusted basis. Overall, the study provides insights for investors regarding the importance of considering the past asymmetry of stock return distributions in investment decision-making processes.

摘要

股票收益分布的历史偏度可能会影响未来的股票收益。先前在发达市场的研究表明，投资者更喜欢表现出正偏斜或“类似彩票”收益特征的股票。对这些股票的更高需求导致偏度与预期股票回报之间呈负相关。本研究调查了 2002 年 8 月至 2019 年 12 月期间约翰内斯堡证券交易所定价的非对称回报的程度。本研究使用投资组合层面的分析，分析了根据过去的自我偏度排序的五分之一投资组合的回报。风险调整后的回报是根据同等权重的基准进行评估的。此外，Patton 和 Timmermann (2010) 的单调关系检验以及 Wolak (1987, 1989) 检验检验了过去自我偏度和未来回报之间是否存在单调关系。与发达市场的证据不同，本研究发现了过去自我偏度与 JSE 未来回报之间存在正相关关系的证据。即使在控制规模和行业影响之后，这种影响仍然存在。结果表明，正偏度在风险调整的基础上得到了回报。总体而言，该研究为投资者提供了有关在投资决策过程中考虑过去股票收益分布不对称的重要性的见解。这项研究发现了过去自我偏度与 JSE 未来回报之间存在正相关关系的证据。即使在控制规模和行业影响之后，这种影响仍然存在。结果表明，正偏度在风险调整的基础上得到回报。总体而言，该研究为投资者提供了有关在投资决策过程中考虑过去股票收益分布不对称的重要性的见解。这项研究发现了过去自我偏度与 JSE 未来回报之间存在正相关关系的证据。即使在控制规模和行业影响之后，这种影响仍然存在。结果表明，正偏度在风险调整的基础上得到了回报。总体而言，该研究为投资者提供了有关在投资决策过程中考虑过去股票收益分布不对称的重要性的见解。