Corporate governance and conditional skewness in the world's stock markets

Kee Hong Bae, Chanwoo Lim, K. C. John Wei

Research output: Journal article publicationJournal articleAcademic researchpeer-review

64 Citations (Scopus)


We investigate why stock returns in emerging market tend to be more positively skewed than those in developed markets. We argue that differences in the quality of corporate governance matter to return skewness. Using return data from more than fourteen thousand individual stocks in 38 countries, we find that positive skewness is most profound in stocks from markets that have poor corporate governance. Our results are robust to a variety of model specifications, different measures of return asymmetries, and alternative measures of corporate governance. Finally, analogous results are also obtained from aggregate stock market returns.

Original languageEnglish
Pages (from-to)2999-3028
Number of pages30
JournalJournal of Business
Issue number6
Publication statusPublished - 1 Nov 2006
Externally publishedYes

ASJC Scopus subject areas

  • Business and International Management
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty


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