Average Skewness in Global Equity Markets

This paper examines the predictive power of average skewness, defined as the average of monthly skewness values across stocks, documented by Jondeau et al. (2019, JFE) for US market returns in an international setting. First, after confirming the validity of the US results for the sample period between 1990 and 2016, we find that the intertemporal relation between average skewness and future market returns becomes either insignificant or marginally significant when the sample period is extended. Second, when we repeat the analysis in 22 developed non-US markets, we find that average skewness has no robust predictive power. The inability of average skewness to forecast market returns does not depend on the method used to calculate average skewness or the regression specification