Average skewness matters

Détails

ID Serval
serval:BIB_59E28DC9DA06
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
Average skewness matters
Périodique
Journal of Financial Economics
Auteur(s)
Jondeau E., Zhang Q., Zhu X.
ISSN
0304-405X
Statut éditorial
Publié
Date de publication
03/2019
Peer-reviewed
Oui
Langue
anglais
Résumé
Average skewness, which is the average of monthly skewness values across firms, performs well at predicting future market returns. This prediction still holds after controlling for the size or liquidity of the firms or for current business cycle conditions. Also, average skewness compares favorably with other economic and financial predictors of subsequent market returns. The asset allocation exercise based on predictive regressions also shows that average skewness generates superior performance.
Mots-clé
Strategy and Management, Economics and Econometrics, Accounting, Finance
Création de la notice
18/03/2019 16:22
Dernière modification de la notice
21/08/2019 6:15
Données d'usage