coefficient of skewness with a positive sign, meaning that the probability of a large and negative excess return is more likely in … a less liquid market. In addition, a positive realized return is associated with a negative coefficient of skewness, or …

coefficient of skewness with a positive sign, meaning that the probability of a large and negative excess return is more likely in … a less liquid market. In addition, a positive realized return is associated with a negative coefficient of skewness, or …

coefficient of skewness with a positive sign, meaning that the probability of a large and negative excess return is more likely in … a less liquid market. In addition, a positive realized return is associated with a negative coefficient of skewness, or …

We use a quantile-based measure of conditional skewness (or asymmetry) that is robust to outliers and therefore …: developed markets, emerging markets, the world, and separately 73 countries. We find that the conditional asymmetry of returns … varies significantly over time, even after accounting for conditional volatility and unconditional skewness effects …