On the pricing of expected idiosyncratic skewness

DOI10.1016/J.ECONLET.2022.110578zbMATH Open1493.91112OpenAlexW4229017515MaRDI QIDQ2158688FDOQ2158688

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

Recommendations

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zbMATH Keywords

probability weightingcommon factorexpected idiosyncratic skewness

Mathematics Subject Classification ID

Portfolio theory (91G10)

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

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