The skewness risk premium in equilibrium and stock return predictability
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Publication:300694
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Cites work
- Do option markets correctly price the probabilities of movement of the underlying asset?
- Financial Modelling with Jump Processes
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
- Volatility in equilibrium: asymmetries and dynamic dependencies
- Volatility spreads and expected stock returns
Cited in
(11)- The impact of fat tails on equilibrium rates of return and term premia
- Risk-adjusted option-implied moments
- Time-varying risk attitude and conditional skewness
- On the pricing of expected idiosyncratic skewness
- Priced risk and asymmetric volatility in the cross section of skewness
- Risk perception and equity returns: evidence from the SPX and VIX
- Equilibrium Predictability, Term Structure of Equity Premia, and Other Return Characteristics
- Assessing sectoral risk through skew-error capital asset pricing model: empirical evidence from Thai stock market
- Out-of-sample stock return prediction using higher-order moments
- Investor sentiment and trading behavior
- Risk-asymmetry indices in Europe
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