佳作分享|股票市场是否提供高回报：来自中国个股偏度的证据

Whether stock market provides high returns: evidence from skewness of individual stocks in China

股票市场是否提供高回报：来自中国个股偏度的证据

Authors

Tianning Ma 

School of Management Science and Engineering, Central University of Finance and Economics, Beijing, China,and,

Shuo Li 

Tianjin University, Tianjin, China

China Transport Telecommunicationa and Information Center, Beijing, China,and,

Xu Feng 

Tianjin University, Tianjin, China

Citation

Ma, T., Li, S. and Feng, X. (2021), "Whether stock market provides high returns: evidence from skewness of individual stocks in China", China Finance Review International, Vol. 11 No. 2, pp. 185-200. https://doi.org/10.1108/CFRI-12-2019-0162

摘要

本文比较了中国市场上个股收益与国债收益，观察个股是否提供了更高的回报。我们发现，一半以上的个股的表现都不如同期中国国债的收益，这也说明了正偏度在个股收益分布中的重要作用。极小部分个股的高收益是中国股票市场整体收益高于国债收益的原因。此外，本文也通过模拟说明了组合多元化对降低组合收益偏度的作用。我们还比较了中国和美国个股收益分布的偏度，发现中国个股收益分布的正偏度小于美国个股收益分布的正偏度。本文的结果也强调了组合多样化在中国市场上同样发挥重要作用。

Abstract

Purpose

This paper studies whether individual stocks provide higher returns than government bond in the Chinese market.

Design/methodology/approach

The authors compare individual stock returns and government bond returns in the Chinese market.

Findings

The authors find that more than half of individual stocks underperform government bonds over the same period in China, which highlights the important role of positive skewness in the distribution of individual stock returns. The high return of a few stocks is the reason why the stock market return is higher than that of government bond in China.

Originality/value

The results of this paper emphasize that portfolio diversification plays an important role in the Chinese market.

Keywords

Skewness, Individual stock returns, Government bond returns, Chinese stock market

文章结构

1. Introduction

2. Literature review

   2.1 The skewness of stock returns

   2.2 The high premium of stock market

   2.3 The poor performance of poorly diversified active strategies

3. Empirical study

   3.1 Data description

   3.2 Comparison of individual stock returns and government bond yields at monthly, annual horizon and in full sample period

   3.3 The relationship between market value of listed companies and skewness of individual stock returns

   3.4 A comparative study of individual stocks in the Chinese and American stock markets

   3.5 Comparison of portfolio returns with different number of stocks: simulation based on bootstrap method

4. Conclusion

研究成果

Individual stocks,monthly horizon in the Chinese market.

Time series of skewness of monthly individual stock returns.

Frequency distribution of monthly individual stock returns.

Individual stocks, annual horizon in the Chinese market.

Time series of skewness of annual individual stock returns.

Frequency distribution of annual individual stock returns.

Individual stocks, whole sample period in the Chinese market.

Individual stocks, monthly horizon, under grouping Method 1.

Skewness of monthly returns in different market capitalization groups (grouping method 1).

Individual stocks, monthly horizon, under grouping method 2.

Skewness of monthly returns in different market capitalization groups (grouping method 2).

Individual stocks, annual horizon, under grouping Method 1.

Individual stocks, annual horizon, under grouping Method 2.

Individual stocks, monthly horizon, Chinese vs American.

Individual stocks, annual horizon, Chinese vs American.

Skewness and market capitalization, China vs the US.

Mean and median of the Chinese annual individual stock returns.

Mean and median of the American annual individual stock returns.

Individual stock return vs. benchmarks in two markets.

Bootstrapped simulation of annual returns of portfolios with different number of stocks.

主要结论

From the perspective of individual stocks, this paper analyzes the distribution characteristics, especially skewness, in individual stock return distribution from 1996 to 2018 in China. We compare the returns of individual stocks and risk-free returns in the Chinese market in terms of various statistics at monthly and annual horizon. The finding is persuasive that the distribution of both monthly and annual individual stock returns is positively skewed, which indicates that a few extreme positive returns of individual stocks in the Chinese stock market have an important influence. The majority of individual stocks fail to match the Treasury bond over the same period at both monthly and annual horizons. Moreover,the market capitalization of listed companies also influences the degree of skewness as small firms generate returns that are more positively skewed. We also compare the distribution characteristics of individual stock returns in the Chinese and American stock markets, the findings imply that the positive skewness in the Chinese market is smaller, which indicates that there are fewer extreme positive returns generated in the Chinese market, thus skewness has a minor impact than that in the US market. And the possible reasons include the rise and fall price limit system in the Chinese market and the characteristic of “short bull and long bear” which makes it less possible to generate extreme positive returns even in the long term.

On the whole, this paper extends Bessembinder’s (2018) study to provide analysis of the sources of returns in the Chinese stock market from the perspective of individual stocks. The findings highlight the importance of diversification in portfolios. Our paper suggests that investors in China should not only consider the basic indicator like mean and variance of portfolios but also fully recognize the existence and influence of positive skewness in individual stock return distribution. If investors cannot guarantee that they can select the few stocks that produce extreme positive returns, then they should better ensure that their portfolios are fully diversified.

作者简介

马天宁是天津大学管理与经济学部经济学学士，中央财经大学经济学硕士在读，她的研究兴趣是资产定价和公司治理。她的邮箱是[e-mail]。

李硕是天津大学管理与经济学部工程博士，在中国交通通信信息中心任职，他的研究兴趣是行为金融。他的邮箱是[e-mail]。

冯绪是天津大学管理与经济学部副教授，他的研究兴趣包括金融大数据和资产定价。他的邮箱是[e-mail]。

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