Chabi-Yo, Fousseni; Yang, Jun - Charles A. Dice Center for Research in Financial … - 2009
In this paper, we intend to explain an empirical finding that distressed stocks delivered anomalously low returns. We show that in a model with heterogeneous investors where idiosyncratic skewness is priced, the expected return of risky assets depends on idiosyncratic coskewness betas, which...