Westerlund, J. and Narayan, P. (2015) Testing for Predictability in Conditionally Heteroskedastic Stock Returns. Journal of Financial Econometrics, 13, 342-375.
https://doi.org/10.1093/jjfinec/nbu001

has been cited by the following article:

• TITLE: Importance of Skewness in Investor Utility: Evidence from the Chinese Stock Markets

  AUTHORS: Patrick Kuok Kun

  KEYWORDS: Skewness, Predictive Regression, Investor Utility, Market Returns

  JOURNAL NAME: Journal of Mathematical Finance, Vol.7 No.4, November 3, 2017

  ABSTRACT: The goal of this study is to evaluate the importance of skewness in investor utility when predicting stock market return by financial ratio variable. We use the daily time series of four major stock market indices of Shanghai Stock Exchanges and Shenzhen Stock Exchanges. We find evidence of predictability of price-to-earnings ratio and price-to-book ratio on the market returns. Using the evidence of predictability, we find evidence that including skewness leads higher utility. The comparison among different ways to calculate the skewness indicate the calculation method mostly used in popular statistical software may lead to the highest utility.