On the pricing of expected idiosyncratic skewness

Xiangyu Cui and Zheng Guan

Economics Letters, 2022, vol. 216, issue C

Abstract: We document new findings on pricing of expected idiosyncratic skewness (EIS) in U.S. market: only stocks with large EIS have significantly negative future return; probability weighting of the market plays a role; EIS of stocks has a common factor.

Keywords: Expected idiosyncratic skewness; Probability weighting; Common factor (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:216:y:2022:i:c:s0165176522001690

DOI: 10.1016/j.econlet.2022.110578

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