Ex Ante Skewness and Expected Stock Returns

By Jennifer S. Conrad, Robert F. Dittmar, Eric Ghysels. 2013

780 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/ca96b016901f48d240521799c9383f98d292b78d

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Citations in the corpus

Risk and Return Spillovers Among the G10 Currencies (2016, background): “There is now a sizeable literature in which researchers have studied the role of option-implied volatility and skewness in asset pricing, particularly with respect to equity markets (Ang et al., 2006, 2009; Chang et al., 2013; Conrad et al., 2013).”
Corporate Political Connections and Tax Aggressiveness (2013, neutral): “In fact, a growing body of asset pricing literature shows that equity investors also care about downside risk and can value the lower downside risk brought about by political connections (e.g., Ang et al. 2006; Conrad et al. 2013; Santa-Clara and Yan 2010; Yan 2011).”
Does Mandatory IFRS Adoption Affect Crash Risk (2015, neutral): “3 Left tail risk is also important if idiosyncratic return skewness is a priced component of stock returns, as suggested by some theoretical and empirical research (Brunnermeier et al., 2007; Mitton and Vorkink, 2007; Barberis and Huang, 2008; Boyer et al., 2010; Conrad et al., 2013).”
Good and bad uncertainty: Macroeconomic and financial market implications ☆ (2015, background): “In the context of long-run risks models with preferences for early resolution of uncertainty, Eraker and Shaliastovich (2008) and Drechsler and Yaron (2011) entertain jumps in cash flows and show that asset valuation drop with increase in jump intensity, and in particular are sensitive to those affe”
Stock price crash risk: review of the empirical literature (2018, positive): “More recent empirical work provides evidence that higher moments of the return distribution are priced in the market (Conrad, Dittmar, and Ghysels, 2013).”
Nominal price illusion (2016, background): “For example, Bali and Murray (2013), Conrad, Dittmar, and Ghysels (2013), and Boyer and Vorkink (2014) find that RNSkew is negatively related to future asset returns, and Friesen, Zhang, and Zorn (2012) explicitly document that low B/M is associated with higher RNSkew in the cross-section.”