Engle, Robert; Mistry, Abhishek - In: Journal of Econometrics 182 (2014) 1, pp. 135-144
We investigate the sources of skewness in aggregate risk factors and the cross section of stock returns. In an ICAPM setting with conditional volatility, we find theoretical time series predictions on the relationships among volatility, returns, and skewness for priced risk factors. Market...