Conditional Skewness in Asset Pricing Tests

By Campbell R. Harvey, Akhtar Siddique. 2000

2,336 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4409b8a688bd4ac00cc1e7782ce37062a89f98a6

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

Does Risk Seeking Drive Stock Prices? A Stochastic Dominance Analysis of Aggregate Investor Preferences and Beliefs (2005, neutral): “For example, Kraus and Litzenberger (1976) and Harvey and Siddique (2000) assume that utility can be approximated using a third-order polynomial, and Dittmar (2002) uses a fourth-order polynomial.”
Contextual Fundamental Analysis Through the Prediction of Extreme Returns (2001, neutral): “In the same spirit, Harvey and Siddique (2000) suggest investor preferences extend beyond mean and variance of expected returns, to include skewness measures (e.g., see Harvey and Siddique, 2000 ).”
Financial Statement Comparability and Expected Crash Risk (2016, neutral): “Prior studies suggest that firms with a higher market to book ratio are more likely to involve bubbles, and thus, are more crash prone (Harvey and Siddique, 2000; Chen et al., 2001).”
Customer Satisfaction and Stock Returns Risk (2009, neutral): “This is important because investors are typically more concerned about the prospect of losses than gains from investments (see Gul 1991; Harvey and Siddique 2000).”
A nonlinear structural model for volatility clustering (2000, neutral): “[26] argue that skewness may be important in investment decisions because of induced asymmetries in realized returns.”
Skewed distributions in finance and actuarial science: a review (2015, neutral): “Harvey and Siddique (2000) propose a conditional model in which the stochastic discount factor is quadratic in the return on the market portfolio.”
The Cross-Section of Credit Risk Premia and Equity Returns (2013, positive): “25For a discussion of the number of contributors as a measure of liquidity in CDS markets and other proxies see, e.g., Qiu and Yu (2012). the measure of Harvey and Siddique (2000).”
Measuring and modeling systematic risk in factor pricing models using high-frequency data (2003, neutral): “…has been the subject of numerous subsequent empirical studies (e.g., Daniel and Titman, 1997; Fama and French, 1996; Ferson and Harvey, 1999; Harvey and Siddique, 2000; Hodrick and Zhang, 2001; Lettau and Ludvigson, 2001, among many others), and as such they form a natural test case for…”
Moment Component Analysis: An Illustration With International Stock Markets (2018, neutral): “1Several papers have investigated the role of systematic skewness, that is, coskewness with the market return (Harvey and Siddique 2000).”
Portfolio Choice with Endogenous Utility: A Large Deviations Approach (2003, positive): “Harvey and Siddique (2000) extended this approach by incorporating conditional coskewness, concluding that “a model incorporating coskewness is helpful in explaining the cross-sectional variation of asset returns”.”
On More Robust Estimation of Skewness and Kurtosis: Simulation and Application to the S&P500 Index (2003, neutral): “Some recent papers on this issue include Bates (1996), Jorion (1988), Hwang and Satchell (1999), and Harvey and Siddique (1999, 2000) .”
A new approach to modeling the dynamics of implied distributions: Theory and evidence from the S&P 500 options (2004, neutral): “Towards this direction, Harvey and Siddique (2000) develop an asset pricing model that incorporates the (conditional) skewness.”
The Joint Cross Section of Stocks and Options (2013, positive): “We can jointly control for ΔCVOL and ΔPVOL effects in portfolios by constructing bivariate portfolio sorts, which we turn to now.”
Who Gambles in the Stock Market (2009, positive): “To measure idiosyncratic skewness, I adopt the Harvey and Siddique (2000) method and decompose the total skewness into idiosyncratic and systematic components.”
Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns (2014, positive): “• Coskewness (CSK): Following Harvey and Siddique (2000) and Ang, Chen, and Xing (2006a), the coskewness of stock i at the end of month t is estimated using daily returns for month t as: ĈSKi,t = 1 N ∑ d(ri,d − r̄i)(r0,d − r̄0)2√ 1 N ∑ d(ri,d − r̄i)2( 1 N ∑ d(r0,d − r̄0)2) , (19) where N denotes…”