Does Realized Skewness Predict the Cross-Section of Equity Returns?
By Diego Amaya, Peter F. Christoffersen, Kris Jacobs, Aurelio Vasquez. 2015
476 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/ddad91e672099865dda7e8142d7b4d9a4f9f37b1
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In Economics and Econometrics
In Finance
In Management Science and Operations Research
Citations in the corpus
- The Skewness of Commodity Futures Returns (2018, unknown): “number of theoretical and empirical articles argue for a negative relation between skewness and expected returns (e.g., Harvey and Siddique, 2000; Mitton and Vorkink, 2007; Adrian and Rosenberg, 2008; Barberis and Huang, 2008; Kumar, 2009; Boyer, Mitton and Vorkink, 2010; Bali et al., 2011; Chang et”
- Does It Pay to Pay Attention (2018, methodology): “For the higher moments we follow Amaya et al. (2015) and use the following expressions: RV arj = N∑ i=1 r2i,j , RSkewj = √ N ∑N i=1 r 3 i,j RV ar 3/2 j , RKurtj = N ∑N i=1 r 4 i,j RV ar2j , where ri,j is the daily return of stock j on day i and N is the number of trading days in the sample.”