Average skewness matters
Details
Serval ID
serval:BIB_59E28DC9DA06
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Average skewness matters
Journal
Journal of Financial Economics
ISSN
0304-405X
Publication state
Published
Issued date
03/2019
Peer-reviewed
Oui
Language
english
Abstract
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.
Keywords
Strategy and Management, Economics and Econometrics, Accounting, Finance
Create date
18/03/2019 15:22
Last modification date
21/08/2019 5:15