On the pricing of expected idiosyncratic skewness

被引：0
|
作者：
Cui, Xiangyu [1 ]
Guan, Zheng [1 ]
机构：
[1] Shanghai Univ Finance & Econ, Sch Stat & Management, Guoding Rd 777, Shanghai, Peoples R China
来源：
ECONOMICS LETTERS | 2022年 / 216卷
基金：
中国国家自然科学基金;
关键词：
Expected idiosyncratic skewness; Probability weighting; Common factor; CONDITIONAL SKEWNESS; PREFERENCE; RETURNS; OPTIONS; STOCKS; RISK;
D O I：
10.1016/j.econlet.2022.110578
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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. (c) 2022 Elsevier B.V. All rights reserved.
引用
收藏
页数：5
相关论文
共 50 条
  • [1] Expected Idiosyncratic Skewness
    Boyer, Brian
    Mitton, Todd
    Vorkink, Keith
    REVIEW OF FINANCIAL STUDIES, 2010, 23 (01): : 169 - 202
  • [2] Real Options, Idiosyncratic Skewness, and Diversification
    Del Viva, Luca
    Kasanen, Eero
    Trigeorgis, Lenos
    JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2017, 52 (01) : 215 - 241
  • [3] Expected idiosyncratic volatility
    Bekaert, Geert
    Bergbrant, Mikael
    Kassa, Haimanot
    JOURNAL OF FINANCIAL ECONOMICS, 2025, 167
  • [4] Expected Idiosyncratic Volatility Measures and Expected Returns
    Fink, Jason D.
    Fink, Kristin E.
    He, Hui
    FINANCIAL MANAGEMENT, 2012, 41 (03) : 519 - 553
  • [5] Do idiosyncratic skewness and kurtosis really matter?
    Ayadi, Mohamed A.
    Cao, Xu
    Lazrak, Skander
    Wang, Yan
    NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2019, 50
  • [6] Does expected idiosyncratic skewness of firms? profit predict the cross-section of stock returns? Evidence from China
    Zhang, Qun
    Zhang, Peihui
    Liu, Hao
    RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2023, 64
  • [7] Idiosyncratic Risk and Asset Pricing
    Asri, Marselinus
    PROCEEDINGS OF THE 2ND INTERNATIONAL CONFERENCE ON ACCOUNTING, MANAGEMENT, AND ECONOMICS 2017 (ICAME 2017), 2017, 40 : 154 - 174
  • [8] Asset Pricing with Idiosyncratic Shocks
    Srisuksai, Pithak
    Vanitcharearntham, Vimut
    APPLIED ECONOMICS JOURNAL, 2016, 23 (01): : 35 - 58
  • [9] Expected stock returns, common idiosyncratic volatility and average idiosyncratic correlation
    Ni, Xuanming
    Qian, Long
    Zhao, Huimin
    Liu, Jia
    INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2021, 76
  • [10] VIX futures pricing with conditional skewness
    Yang, Xinglin
    Wang, Peng
    JOURNAL OF FUTURES MARKETS, 2018, 38 (09) : 1126 - 1151
12345