Expected Idiosyncratic Skewness
By Brian H. Boyer, Todd Mitton, Keith P. Vorkink. 2010
814 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/a6d7c10baff4c3cc7641b3b7a335bddc5540cbb5
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
- Nicholas Barberis
- A. Shleifer
- N. Gennaioli
- P. Bordalo
- Baolian Wang
- Turan G. Bali
- Raman Uppal
- Victor DeMiguel
In Finance
- Nicholas Barberis
- Victor DeMiguel
- Raman Uppal
- A. Shleifer
- Turan G. Bali
- N. Gennaioli
- P. Bordalo
- Baolian Wang
Citations in the corpus
- The Psychology of Tail Events: Progress and Challenges (2013, background): “Several studies, using a variety of techniques for measuring skewness, have found that stocks with high measured skewness do indeed have lower subsequent returns (see, for example, Boyer, Mitton, and Vorkink 2010).”
- Does Realized Skewness Predict the Cross-Section of Equity Returns? (2015, methodology): “Boyer, Mitton, and Vorkink (2010) use a model that incorporates rm characteristics in order to measure the expected skewness over a given horizon.”
- Does Idiosyncratic Volatility Proxy for Risk Exposure (2012, methodology): “In the models of Gromb and Vayanos (2002) and Brunnermeier and Pedersen (2009), higher variance predicts less available risk-bearing capacity.”
- Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012, neutral): “[16] Boyer, B.”
- Psychology-based Models of Asset Prices and Trading Volume (2018, methodology): “Boyer et al. (2010) use a regression model to predict a stock’s future return skewness, while Conrad et al. (2013) infer a stock’s expected skewness from the prices of the options that are traded on the stock.”
- Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns? (2013, background): “Boyer, Mitton, and Vorkink (2010) demonstrate that historical-based estimates of skewness provide poor forecasts of future skewness.1 In this paper, we present evidence of positive skewness preference by analyzing the returns of skewness assets.”
- The Skewness of Commodity Futures Returns (2018, neutral): “It further provides out-of-sample evidence on this growing literature (e.g., Harvey and Siddique, 2000; Mitton and Vorkink, 2007; Adrian and Rosenberg, 2008; Barberis and Huang, 2008; Kumar, 2009; Boyer et al., 2010; Bali et al., 2011; Chang et al., 2013; Conrad et al., 2013; Boyer and Vorkink, 2014”
- Improving Portfolio Selection Using Option-Implied Volatility and Skewness (2013, methodology): “To implement the parametric-portfolio methodology, we also use data from Compustat.”