Average skewness matters

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...

Full description

Saved in:
Bibliographic Details
Published in:Journal of financial economics 2019-10, Vol.134 (1), p.29-47
Main Authors: Jondeau, Eric, Zhang, Qunzi, Zhu, Xiaoneng
Format: Article
Language:English
Subjects:
Average skewness
Averages
Business cycles
Futures market
Idiosyncratic skewness
Liquidity
Rates of return
Return predictability
Size of enterprise
Skewness
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary: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.
ISSN:0304-405X
1879-2774
DOI:10.1016/j.jfineco.2019.03.003