Ex Ante Skewness and Expected Stock Returns

• 成果类型: Article
• 署名作者: Conrad, Jennifer; Dittmar, Robert F.; Ghysels, Eric
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill; University of Michigan System; University of Michigan; University of North Carolina; University of North Carolina Chapel Hill
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2012.01795.x
• 发表日期: 2013
• 页码: 85-124
• 关键词: cross-section; RISK; preference; equilibrium; volatility; options

摘要

We use option prices to estimate ex ante higher moments of the underlying individual securities risk-neutral returns distribution. We find that individual securities risk-neutral volatility, skewness, and kurtosis are strongly related to future returns. Specifically, we find a negative (positive) relation between ex ante volatility (kurtosis) and subsequent returns in the cross-section, and more ex ante negatively (positively) skewed returns yield subsequent higher (lower) returns. We analyze the extent to which these returns relations represent compensation for risk and find evidence that, even after controlling for differences in co-moments, individual securities skewness matters.