Ex Ante Skewness and Expected Stock Returns
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Citations
The Interplay Between Sentiment and MAX: Evidence from an Emerging Market:
Essays in asset pricing and volatility risk
FARVaR: Functional Autoregressive Value-at-Risk
Essays on Exchange Rate Risk
A closed-form mean-variance-skewness portfolio strategy
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
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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.