Average skewness matters

• 成果类型: Article
• 署名作者: Jondeau, Eric; Zhang, Qunzi; Zhu, Xiaoneng
• 署名单位: University of Lausanne; University of Geneva; Shandong University; Shanghai University of Finance & Economics; Shanghai Institute of International Finance & Economics
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2019.03.003
• 发表日期: 2019
• 页码: 29-47
• 关键词: Return predictability; Average skewness; Idiosyncratic skewness

摘要

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. (C) 2019 Elsevier B.V. All rights reserved.