Purpose

The study investigates the impact of higher moments on cross-sectional returns in the Indian equity market.

Design/methodology/approach

Using the daily data of 3,085 Bombay Stock Exchange-listed stocks spanning over 20 years from January 2000 to December 2019, the study evaluates the relationship between higher moments (skewness and kurtosis) and stock returns at individual stock and portfolio levels. The variations in the returns of the equal-weighted and the value-weighted portfolios are analysed, where the portfolios are constructed by sorting the stocks on skewness and kurtosis. The returns are adjusted for five common factors – market excess-returns, size, value, momentum and illiquidity, to controls other cross-sectional effects. Besides, the study employs Fama-MacBeth cross-sectional regression and time-series tests of higher moments as robustness measures.

Findings

The study presents higher moments anomaly in the Indian equity market. Contrary to what is expected based on a risk-averse rational agent model, a robust positive relationship is observed between the skewness and stock returns. The relationship between the kurtosis and stock returns is negative, albeit statistically weak. These results are robust for the Fama-MacBeth cross-sectional regression and time-series tests.

Originality/value

It is among the earlier attempts to investigate the pricing impact of higher moments at different levels of asset prices in an emerging market. Besides the standard portfolio methodology for explaining cross-sectional variations, the study also employs the time-series tests for higher moment factors, hence provides more robust results. Results have wider implications for asset pricing in emerging markets and highlight many issues for further research.

中文翻译：

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更高的矩异常：来自印度股市的证据

目的

该研究调查了较高时刻对印度股票市场横截面回报的影响。

设计/方法/方法

该研究使用 2000 年 1 月至 2019 年 12 月 20 多年间 3,085 只在孟买证券交易所上市的股票的每日数据，评估了单个股票和投资组合水平的较高时刻（偏度和峰度）与股票回报之间的关系。分析了等权重和价值加权投资组合的收益变化，其中投资组合是通过对股票的偏度和峰度进行排序来构建的。回报根据五个共同因素进行调整——市场超额回报、规模、价值、动量和流动性，以控制其他横截面效应。此外，该研究采用 Fama-MacBeth 横截面回归和较高矩的时间序列检验作为稳健性度量。

发现

该研究显示了印度股票市场的较高时刻异常。与基于风险规避理性代理模型的预期相反，在偏度和股票回报之间观察到稳健的正相关关系。峰度和股票回报之间的关系是负的，尽管在统计上很弱。这些结果对于 Fama-MacBeth 横截面回归和时间序列检验是稳健的。

原创性/价值

这是研究新兴市场不同资产价格水平较高时刻对定价影响的早期尝试之一。除了用于解释横截面变化的标准投资组合方法外，该研究还对更高的矩因子采用了时间序列测试，因此提供了更可靠的结果。结果对新兴市场的资产定价具有更广泛的影响，并突出了许多需要进一步研究的问题。