Journal of Systems Science and Complexity

, Volume 22, Issue 3, pp 360–371 | Cite as

Skewness of return distribution and coefficient of risk premium

  • Fenghua Wen
  • Xiaoguang Yang


The skewness of the return distribution is one of the important features of the security price. In this paper, the authors try to explore the relationship between the skewness and the coefficient of risk premium. The coefficient of the risk premium is estimated by a GARCH-M model, and the robust measurement of skewness is calculated by Groeneveld-Meeden method. The empirical evidences for the composite indexes from 33 securities markets in the world indicate that the risk compensation requirement in the market where the return distribution is positively skewed is virtually zero, and the risk compensation requirement is positive in a significant level in the market where the return distribution is negative skewed. Moreover, the skewness is negatively correlated with the coefficient of the risk premium.

Key words

Coefficient of risk premium return distribution robust skewness speculation 


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Copyright information

© Academy of Mathematics & Systems Science, Beijing, China 2009

Authors and Affiliations

  1. 1.School of Economics and ManagementChangsha University of Science and TechnologyChangshaChina
  2. 2.Academy of Mathematics and Systems ScienceChinese Academy of SciencesBeijingChina

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