On the pricing of expected idiosyncratic skewness

DOI10.1016/J.ECONLET.2022.110578MaRDI QIDQ2158688zbMATH OpenOpenAlexFDO

Authors Xiangyu Cui, Zheng Guan

Publication date 26 July 2022

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2022.110578

zbMATH Keywords

probability weightingcommon factorexpected idiosyncratic skewness

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Priced risk and asymmetric volatility in the cross section of skewness
• Idiosyncratic volatility, expected windfall, and the cross-section of stock returns
• Is idiosyncratic risk conditionally priced?
• A simple skewed distribution with asset pricing applications
• The skewness risk premium in equilibrium and stock return predictability

Cites work

• Common risk factors in the returns on stocks and bonds
• Market timing with option-implied distributions: A forward-looking approach

Cited in

(7)

• The skewness risk premium in equilibrium and stock return predictability
• Beta and Coskewness Pricing: Perspective from Probability Weighting
• Skewness premium with Lévy processes
• Is idiosyncratic risk conditionally priced?
• ROBUST TRADING OF IMPLIED SKEW
• Priced risk and asymmetric volatility in the cross section of skewness
• Idiosyncratic volatility, expected windfall, and the cross-section of stock returns

This page was built for publication: On the pricing of expected idiosyncratic skewness

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2158688)