Asset Pricing with Systematic Skewness: Two Decades Later

被引：1

作者：

Anghel, Dan Gabriel ^{[1
,2
]}

Caraiani, Petre ^{[1
,2
]}

Rosu, Alina ^{[3
]}

Rosu, Ioanid ^{[3
]}

机构：

[1] Bucharest Univ Econ Studies, Bucharest, Romania

[2] Romanian Acad, Inst Econ Forecasting, Bucharest, Romania

[3] HEC Paris, Paris, France

来源：

CRITICAL FINANCE REVIEW | 2023年 / 12卷 / 1-4期

关键词：

Skewness; Coskewness; Three-moment CAPM; Persistent factors; Expected return; CROSS-SECTION; CONDITIONAL SKEWNESS; PREFERENCE; RISK; RETURNS; EQUILIBRIUM; STOCKS;

D O I：

10.1561/104.00000133

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We reexamine the asset pricing performance of systematic skewness ("coskewness"), a risk factor in the three-moment CAPM model of Kraus and Litzenberger (1976). In an influential paper, Harvey and Siddique (2000) test a coskewness factor constructed by sorting stocks on past coskewness. We replicate and extend their paper. Overall, coskewness appears to be priced in the cross section of stocks, especially when using an alternative coskewness proxy like (i) the predicted systematic skewness (PSS) of Langlois (2020), where coskewness is predicted by various firm characteristics, or (ii) a modified PSS factor (mPSS) that uses only return-based characteristics.

引用

页码：309 / 354

页数：46

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