Conditional Skewness in Asset Pricing : 25 Years of Out-of-Sample Evidence

Much attention is paid to portfolio variance, but skewness is also important for both portfolio design and asset pricing. We revisit the empirical research on systematic skewness that we initiated 25 years ago. In an out-of-sample test, we find that the risk premium associated with skewness is similar to the one reported in our original paper

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Year of publication:	[2022]
Authors:	Harvey, Campbell R. ; Siddique, Akhtar R.
Publisher:	[S.l.] : SSRN
Subject:	CAPM \| Kapitaleinkommen \| Capital income \| Risikoprämie \| Risk premium \| Theorie \| Theory

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Extent:	1 Online-Ressource (14 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 20, 2022 erstellt
Other identifiers:	10.2139/ssrn.4085027 [DOI]
Classification:	G11 - Portfolio Choice ; G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies ; g40
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013288865