On the pricing of expected idiosyncratic skewness

被引：0
|
作者：
Cui, Xiangyu [1 ]
Guan, Zheng [1 ]
机构：
[1] Shanghai Univ Finance & Econ, Sch Stat & Management, Guoding Rd 777, Shanghai, Peoples R China
来源：
ECONOMICS LETTERS | 2022年 / 216卷
基金：
中国国家自然科学基金;
关键词：
Expected idiosyncratic skewness; Probability weighting; Common factor; CONDITIONAL SKEWNESS; PREFERENCE; RETURNS; OPTIONS; STOCKS; RISK;
D O I：
10.1016/j.econlet.2022.110578
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We document new findings on pricing of expected idiosyncratic skewness (EIS) in U.S. market: only stocks with large EIS have significantly negative future return; probability weighting of the market plays a role; EIS of stocks has a common factor. (c) 2022 Elsevier B.V. All rights reserved.
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页数：5
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