Existing studies find that size, book-to-market, and momentum explain the cross-section of average returns. Some studies also report evidence that suggests that liquidity risk is priced. There is an ongoing debate about whether these factors are related to fundamental risks. We propose a new...

The skewness of the conditional return distribution plays a significant role in financial theory and practice. This paper examines whether conditional skewness of daily aggregate market returns is predictable and investigates the economic mechanisms underlying this predictability. In both...

This paper contributes empirical evidence to the debate on short sales. Our examination of how market-wide short-sale restrictions affect aggregate market returns focuses on two main questions: What is the effect of short-sale restrictions on skewness, volatility, the probability of market...

The characteristics of the distribution of security returns, such as skewness, play a significant role in financial theory and practice. This paper examines whether conditional skewness of daily aggregate market returns is predictable and investigates the economic mechanisms underlying this...