조건부 왜도에 의한 가격결정모형 검증

In this study, I analyzed skewness effect on the Korean stock market over the period of April, 1987 to March, 2005. The results are convincing that conditional skewness plays an important role for effectively explaining the cross-sectional differences among various assets and portfolios in Korea. For the test of asset pricing model with conditional skewness, I adopted three large portfolio categories, industry portfolios, size and book-to-market portfolios, and value portfolios driven by five value ratios composed of earnings to price, operating cash-flow to price, free cash-flow to price, sales to price and sales growth rate. In most cases, conditional skewness was verified to explain well the cross-sectional variations within each portfolio group. Especially, within the boundaries of five value portfolio group, coskewness acts as more convincing risk factor than any other two boundaries of portfolio group. This finding provides value-portfolio-related observations of Kim and Lee (2006) that value stocks perform better than the market especially during the down-market period, with both theoretical and empirical backgrounds about the risk preference. Coskewness factor premiums, which is value-weighted excess portfolio return of 20 percent most negative coskewness over the risk-free rate, turn out to be positive in almost all the portfolios as well as in the individual stocks as expected in the model assumptions. I think the fact that value premiums are explained well by coskewness risk factor can be used as another portfolio strategy technique like portfolio insurance.