Low-Risk Anomalies?

• 成果类型: Article
• 署名作者: Schneider, Paul; Wagner, Christian; Zechner, Josef
• 署名单位: Universita della Svizzera Italiana
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12910
• 发表日期: 2020
• 页码: 2673-2718
• 关键词: CAPITAL-MARKET EQUILIBRIUM; cross-section; asset prices; skewness; volatility; preference; heteroskedasticity; valuation; stocks; lotteries

摘要

This paper shows that low-risk anomalies in the capital asset pricing model and in traditional factor models arise when investors require compensation for coskewness risk. Empirically, we find that option-implied ex ante skewness is strongly related to ex post residual coskewness, which allows us to construct coskewness factor-mimicking portfolios. Controlling for skewness renders the alphas of betting-against-beta and betting-against-volatility insignificant. We also show that the returns of beta- and volatility-sorted portfolios are driven largely by a single principal component, which in turn is explained largely by skewness.