Ex Ante Skewness and Expected Stock Returns
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Citations
Are Mutual Fund Managers Good Gamblers
Conditional Skewness in Currency Markets
Dynamics between crude oil and equity markets under the risk-neutral measure
Option-Implied Idiosyncratic and Systematic Risk in the Cross-Section of Expected Stock Returns
The Pricing of Market and Idiosyncratic Jump and Volatility Risks
References
Common risk factors in the returns on stocks and bonds
Risk, Return, and Equilibrium: Empirical Tests
Advances in prospect theory: cumulative representation of uncertainty
Industry costs of equity
The Persistence of Mutual Fund Performance
Related Papers (5)
Frequently Asked Questions (4)
Q2. What are the future works mentioned in the paper "Ex ante skewness and expected stock returns" ?
The authors explore the possibility that higher moments of the returns distribution are important in explaining security returns. These methods range from a simple single-factor data-generating process, suggested in Bakshi, Kapadia, and Madan ( 2003 ) and similar to the method ( in physical returns ) used in Harvey and Siddique ( 2000 ), to a non-parametric calculation of the stochastic discount factor.
Q3. How do the authors adjust for the size- and book-to-market characteristics of securities?
When the authors adjust for the size- and book-to-market characteristics of securities, the characteristic-adjusted returns hardly change, averaging -79 and -67 basis points per month, respectively, across the two maturity bins.
Q4. What is the relation between risk neutral and physical probabilities?
The relation between risk-neutral and physical probabilities therefore depends on the price of risk; risk-neutral probabilities subsume, or incorporate, the effects of risk, since the prices from which they are calculated embed investors’ risk preferences.