Market skewness risk and the cross section of stock returns

• 成果类型: Article
• 署名作者: Chang, Bo Young; Christoffersen, Peter; Jacobs, Kris
• 署名单位: University of Toronto; Copenhagen Business School; University of Houston System; University of Houston; Tilburg University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.07.002
• 发表日期: 2013
• 页码: 46-68
• 关键词: Skewness risk; Cross section; Volatility risk; Option-implied moments; Factor-mimicking portfolios

摘要

The cross section of stock returns has substantial exposure to risk captured by higher moments of market returns. We estimate these moments from daily Standard & Poor's 500 index option data. The resulting time series of factors are genuinely conditional and forward-looking. Stocks with high exposure to innovations in implied market skewness exhibit low returns on average. The results are robust to various permutations of the empirical setup. The market skewness risk premium is statistically and economically significant and cannot be explained by other common risk factors such as the market excess return or the size, book-to-market, momentum, and market volatility factors, or by firm characteristics. (C) 2012 Elsevier B.V. All rights reserved.