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Average skewness matters

Eric Jondeau (), Qunzi Zhang and Xiaoneng Zhu

Journal of Financial Economics, 2019, vol. 134, issue 1, 29-47

Abstract: Average skewness, which is the average of monthly skewness values across firms, performs well at predicting future market returns. This prediction still holds after controlling for the size or liquidity of the firms or for current business cycle conditions. Also, average skewness compares favorably with other economic and financial predictors of subsequent market returns. The asset allocation exercise based on predictive regressions also shows that average skewness generates superior performance.

Keywords: Return predictability; Average skewness; Idiosyncratic skewness (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 G17 (search for similar items in EconPapers)
Date: 2019
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Working Paper: Average Skewness Matters! (2015) Downloads
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DOI: 10.1016/j.jfineco.2019.03.003

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