Recently, the paper titled “Forecasting Stock Returns: The Role of Idiosyncratic Asymmetry Risk”, co-authored by Associate Professor (Tenure-Track) Zhang Lei from the School of FinTech at Dongbei University of Finance and Economics (DUFE), has been accepted for publication in the internationally renowned finance journal Journal of International Money and Finance. DOI: https://doi.org/10.1016/j.jimonfin.2025.103464. 

This paper introduces a novel method for quantifying return asymmetry. The study yields two key findings. First, through nonparametric testing, the researchers establish that the proposed measure exhibits higher testing efficiency compared to conventional third-order skewness. Second, the analysis reveals that the proposed asymmetry metric serves as a robust predictor of cross-sectional equity returns. Consistent with theoretical predictions in the extant literature, the study documents a negative relationship between return asymmetry and subsequent stock performance. The empirical evidence suggests that the cross-sectional pricing power of the asymmetric measure can be partially attributed to mispricing and arbitrage constraints. Moreover, the authors find that the asymmetric risk premium in the Chinese stock market is approximately twice the magnitude observed in the U.S. market.

The publication of this research marks significant progress in DUFE’s fintech research and boosts DUFE’s international academic influence.

Written by: Zhao Penghui

Source: School of Fintech