Can average skewness really predict financial returns? The euro area case

Jan Annaert, Marc De Ceuster and Jef Van Cappellen

Finance Research Letters, 2023, vol. 52, issue C

Abstract: Jondeau et al. (2020) find evidence that average stock return skewness predicts stock market returns. Although this evidence is consistent with asset pricing theory, we are not able to replicate this result on a broad sample of stock returns taken from the well-developed euro area stock markets. Nor does accounting for potential slower information dissemination or using two alternative skewness estimators lead to finding predictability.

Keywords: Average skewness; Stock market return predictability (search for similar items in EconPapers)
JEL-codes: G11 G12 G13 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322005529

DOI: 10.1016/j.frl.2022.103375

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