Average skewness, which is defined as the average of monthly skewness values across firms, performs well at predicting future market returns. This result still holds after controlling for the size or liquidity of the firms or for current business cycle conditions. We also find that average...

Oil price changes fail to predict asset returns because they are too noisy. We construct an oil trend factor that filters out noise and provide evidence that it predicts bond risk premia well. This result holds in developed and emerging countries, both in sample and out of sample. Notably, the...

Since Lee and Swaminathan (2000) find that high-volume stocks tend to have high stock momentum, there have been several studies investigating this phenomenon, but none of them have reached a firm conclusion about what the underlying driver is. In this paper, we empirically test two competing...