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Modelling conditional skewness: Heterogeneous beliefs, short sale restrictions and market declines

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  • Shum, Wai Yan

Abstract

This paper tests the relationship among heterogeneous beliefs, short sale restrictions and time-varying conditional skewness under different market conditions. The results show that heterogeneous beliefs and short sale restrictions have negative impacts on conditional skewness during periods of market decline but have negative, positive or no impacts during periods of market growth. This evidence reconciles conflicting evidence in recent empirical studies on the relationship among heterogeneous beliefs, short sale restrictions and conditional skewness.

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  • Shum, Wai Yan, 2020. "Modelling conditional skewness: Heterogeneous beliefs, short sale restrictions and market declines," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    • Handle: RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300774
    DOI: 10.1016/j.najef.2019.101070
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    2. Diacogiannis, George & Ioannidis, Christos, 2022. "Linear beta pricing with efficient/inefficient benchmarks and short-selling restrictions," International Review of Financial Analysis, Elsevier, vol. 81(C).

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    More about this item

    Keywords

    Conditional skewness; Short sale restrictions; Heterogeneous beliefs; Market declines;
    All these keywords.

    JEL classification:

    • G0 - Financial Economics - - General
    • G1 - Financial Economics - - General Financial Markets
    • G4 - Financial Economics - - Behavioral Finance
    • C0 - Mathematical and Quantitative Methods - - General
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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