Research On The Idiosyncratic Skewness Of Chinese Stock Market From The Perspective Of Real Options

Empirical evidence shows that the returns of China's stock market are not symmetrically distributed,but there is a certain skew.Therefore,it is not possible to simply use the volatility of returns to characterize the risk of stocks,and higher-level risk measurement indicators are needed,That is,the skewness of the distribution of stock returns.In addition,investors also prefer to have stocks with high idiosyncratic skewness.The risk of this idiosyncratic skewness is preferred by investors,because this can give them the opportunity to "little broad",so investors are unwilling to diversify this risk,in order to obtain greater skewness.Therefore,skewness is closely related to the lottery type characteristics of finance or real estate,and captures the asymmetry in the distribution of stock returns observed empirically.Generally,co-skewness and idiosyncratic skewness are considered investor-related characteristics.Although it is important,there is less research on the factors that affect skewness.Some foreign studies have shown that changes in leverage can lead to asymmetric responses to changes in stock prices.Therefore,differences in leverage and volatility among firms may help explain skewness differences.Investor heterogeneity may also be the cause of skewed differences.However,the factors affecting idiosyncratic skewness are not limited to these.Among them,the potential future value of the enterprise will also have a certain impact on the idiosyncratic skewness.The value of the enterprise can be divided into the return value of the current value assets and the value of the expected future growth,that is,the growth options that represent the company's specific investment opportunities.Under different market demands,growth options can give enterprises the flexibility to invest,expand,contract,reorganize,and terminate projects,help companies gain a competitive advantage in an active market,increase market share,and in a negative market reduce costs and obtain downstream protection.This dynamic asset adaptation process of an active company with asset flexibility will produce a convex value return,thereby increasing the firm's unique skewness.Therefore,this article refers to the overall idea and framework of the article "Real Options,Idiosyncratic Skewness,and Diversification" by Trigeorgis et al.According to the characteristics of China's stock market,first of all,increases the theoretical explanation of skewness by showing how real options at the corporate level can generate convexity and skewness of returns.Secondly,through empirical research,we selected non-financial A-share listed companies in Shanghai and Shenzhen from 1997 to 2018 as research samples,and selected general capital expenditure intensity(CAPFIX),future growth opportunity proxy indicator(GO),and research and development expenditure strength(R&D)as the proxy indicators of real options for enterprises.The results of empirical analysis show that real growth options are important,positive and powerful determinants of specific skewness.Secondly,empirical results show that some expected specific skewness generated by growth options has a negative return premium.The effect of real options on skewness is more pronounced in companies with lottery-type characteristics,small scale,and high volatility.With observable enhanced skewness and lottery type characteristics,these results indicate a reasonable transfer mechanism for behaviors from real growth options to stock returns.Finally,it is found that the expected idiosyncratic skewness is related to a lower Sharpe ratio,which indicates that investors are willing to sacrifice the efficiency of the mean-variance portfolio in order to obtain greater skewness from real options.