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中文摘要：
研究了中国A股市场上特质偏度和预期收益率的关系．结合中国市场的实际，采用横截面回归方法提取预期特质偏度，随后运用Fama-MacBeth方法来验证预期收益率和预期特质偏度之间的关系．实证结果表明二者之间存在显著的负向关系，在控制了流动性因子、协偏度和协峰度等变量的影响之后该结论仍然成立．同时，还对“特质波动率之谜”进行了重新检验，结果发现，在控制了预期特质偏度之后，滞后的特质波动率与预期收益率之间的负相关关系不再显著，从而证实了预期特质偏度中含有一部分特质波动率的信息．最后，在区分了大、小公司的子样本中进行的稳健性检验也支持上述结论．
英文摘要：
This paper discusses, empirically, on the relationship between the expected return and the expec- ted idiosyncratic skewness in Chinese A-share equity market. Series of expected idiosyncratic skewness of each stock are taken from cross section regression models, and Fama-MacBeth regressions are adopted to test the re- lationship between the expected return and the expected idiosyncratic skewness. The empirical result suggests that there is a significant negative relationship between them, even when controlling for liquidity, co-skew- ness,co-kurtosis and other factors. This paper also retests the ＂the idiosyncratic volatility puzzle＂, and find that, after controlling for expected idiosyncratic skewness, the negative relationship between idiosyncratic vola- tility and expected return no longer holds, thus confirming the fact that expected idiosyncratic skewness con- tains a fraction of the information of idiosyncratic volatility. Finally, the robustness test by separating samples of big firms and small firms supports the above conclusion again.
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