IDEAS home Printed from https://ideas.repec.org/a/bla/jfinan/v75y2020i5p2673-2718.html
   My bibliography  Save this article

Low‐Risk Anomalies?

Author

Listed:
  • PAUL SCHNEIDER
  • CHRISTIAN WAGNER
  • JOSEF ZECHNER

Abstract

This paper shows that low‐risk anomalies in the capital asset pricing model and in traditional factor models arise when investors require compensation for coskewness risk. Empirically, we find that option‐implied ex ante skewness is strongly related to ex post residual coskewness, which allows us to construct coskewness factor‐mimicking portfolios. Controlling for skewness renders the alphas of betting‐against‐beta and betting‐against‐volatility insignificant. We also show that the returns of beta‐ and volatility‐sorted portfolios are driven largely by a single principal component, which in turn is explained largely by skewness.

Suggested Citation

  • Paul Schneider & Christian Wagner & Josef Zechner, 2020. "Low‐Risk Anomalies?," Journal of Finance, American Finance Association, vol. 75(5), pages 2673-2718, October.
    • Handle: RePEc:bla:jfinan:v:75:y:2020:i:5:p:2673-2718
    DOI: 10.1111/jofi.12910
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/jofi.12910
    Download Restriction: no
    File URL: https://libkey.io/10.1111/jofi.12910?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Shiyang Huang & Xin Liu & Dong Lou & Christopher Polk, 2024. "The Booms and Busts of Beta Arbitrage," Management Science, INFORMS, vol. 70(8), pages 5367-5385, August.
    2. Markus K. Brunnermeier & Jonathan A. Parker & Christian Gollier, 2007. "Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns," American Economic Review, American Economic Association, vol. 97(2), pages 159-165, May.
    3. Chang, Bo Young & Christoffersen, Peter & Jacobs, Kris, 2013. "Market skewness risk and the cross section of stock returns," Journal of Financial Economics, Elsevier, vol. 107(1), pages 46-68.
    4. John M. Griffin & Michael L. Lemmon, 2002. "Book‐to‐Market Equity, Distress Risk, and Stock Returns," Journal of Finance, American Finance Association, vol. 57(5), pages 2317-2336, October.
    5. Kozak, Serhiy & Nagel, Stefan & Santosh, Shrihari, 2020. "Shrinking the cross-section," Journal of Financial Economics, Elsevier, vol. 135(2), pages 271-292.
    6. Brennan, M. J., 1971. "Capital Market Equilibrium with Divergent Borrowing and Lending Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(5), pages 1197-1205, December.
    7. Ang, Andrew & Hodrick, Robert J. & Xing, Yuhang & Zhang, Xiaoyan, 2009. "High idiosyncratic volatility and low returns: International and further U.S. evidence," Journal of Financial Economics, Elsevier, vol. 91(1), pages 1-23, January.
    8. John Y. Campbell & Jens Hilscher & Jan Szilagyi, 2008. "In Search of Distress Risk," Journal of Finance, American Finance Association, vol. 63(6), pages 2899-2939, December.
    9. Breeden, Douglas T & Litzenberger, Robert H, 1978. "Prices of State-contingent Claims Implicit in Option Prices," The Journal of Business, University of Chicago Press, vol. 51(4), pages 621-651, October.
    10. Guanhao Feng & Stefano Giglio & Dacheng Xiu, 2020. "Taming the Factor Zoo: A Test of New Factors," Journal of Finance, American Finance Association, vol. 75(3), pages 1327-1370, June.
    11. Stefan Nagel & Kenneth J. Singleton, 2011. "Estimation and Evaluation of Conditional Asset Pricing Models," Journal of Finance, American Finance Association, vol. 66(3), pages 873-909, June.
    12. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
    13. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    14. Rubinstein, Mark E., 1973. "The Fundamental Theorem of Parameter-Preference Security Valuation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 8(1), pages 61-69, January.
    15. Elise Gourier, 2016. "Pricing of Idiosyncratic Equity and Variance Risks," Working Papers 781, Queen Mary University of London, School of Economics and Finance.
    16. Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2006. "The Cross‐Section of Volatility and Expected Returns," Journal of Finance, American Finance Association, vol. 61(1), pages 259-299, February.
    17. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
    18. Lettau, Martin & Maggiori, Matteo & Weber, Michael, 2014. "Conditional risk premia in currency markets and other asset classes," Journal of Financial Economics, Elsevier, vol. 114(2), pages 197-225.
    19. Frazzini, Andrea & Pedersen, Lasse Heje, 2014. "Betting against beta," Journal of Financial Economics, Elsevier, vol. 111(1), pages 1-25.
    20. Nicolae Garleanu & Lasse Heje Pedersen & Allen M. Poteshman, 2009. "Demand-Based Option Pricing," The Review of Financial Studies, Society for Financial Studies, vol. 22(10), pages 4259-4299, October.
    21. John Y. Campbell & Glen B. Taksler, 2003. "Equity Volatility and Corporate Bond Yields," Journal of Finance, American Finance Association, vol. 58(6), pages 2321-2350, December.
    22. Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2020. "Dissecting Characteristics Nonparametrically," The Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 2326-2377.
    23. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    24. Bali, Turan G. & Cakici, Nusret & Whitelaw, Robert F., 2011. "Maxing out: Stocks as lotteries and the cross-section of expected returns," Journal of Financial Economics, Elsevier, vol. 99(2), pages 427-446, February.
    25. John H. Cochrane, 2011. "Presidential Address: Discount Rates," Journal of Finance, American Finance Association, vol. 66(4), pages 1047-1108, August.
    26. Jennifer Conrad & Robert F. Dittmar & Eric Ghysels, 2013. "Ex Ante Skewness and Expected Stock Returns," Journal of Finance, American Finance Association, vol. 68(1), pages 85-124, February.
    27. Robert F. Stambaugh & Jianfeng Yu & Yu Yuan, 2015. "Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle," Journal of Finance, American Finance Association, vol. 70(5), pages 1903-1948, October.
    28. Campbell, John Y. & Giglio, Stefano & Polk, Christopher & Turley, Robert, 2018. "An intertemporal CAPM with stochastic volatility," Journal of Financial Economics, Elsevier, vol. 128(2), pages 207-233.
    29. Campbell, John Y, 1993. "Intertemporal Asset Pricing without Consumption Data," American Economic Review, American Economic Association, vol. 83(3), pages 487-512, June.
    30. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-858, May.
    31. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    32. Liu, Jianan & Stambaugh, Robert F. & Yuan, Yu, 2018. "Absolving beta of volatility’s effects," Journal of Financial Economics, Elsevier, vol. 128(1), pages 1-15.
    33. Andersen, Torben G. & Fusari, Nicola & Todorov, Viktor, 2015. "The risk premia embedded in index options," Journal of Financial Economics, Elsevier, vol. 117(3), pages 558-584.
    34. Turan G. Bali & Armen Hovakimian, 2009. "Volatility Spreads and Expected Stock Returns," Management Science, INFORMS, vol. 55(11), pages 1797-1812, November.
    35. Gurdip Bakshi & Nikunj Kapadia & Dilip Madan, 2003. "Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options," The Review of Financial Studies, Society for Financial Studies, vol. 16(1), pages 101-143.
    36. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    37. Adrian Buss & Grigory Vilkov, 2012. "Measuring Equity Risk with Option-implied Correlations," The Review of Financial Studies, Society for Financial Studies, vol. 25(10), pages 3113-3140.
    38. Schneider, Paul, 2015. "Generalized risk premia," Journal of Financial Economics, Elsevier, vol. 116(3), pages 487-504.
    39. Nicholas Barberis & Ming Huang, 2008. "Stocks as Lotteries: The Implications of Probability Weighting for Security Prices," American Economic Review, American Economic Association, vol. 98(5), pages 2066-2100, December.
    40. repec:bla:jfinan:v:59:y:2004:i:2:p:831-868 is not listed on IDEAS
    41. Joachim Freyberger & Andreas Neuhierl & Michael Weber & Andrew KarolyiEditor, 2020. "Dissecting Characteristics Nonparametrically," Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 2326-2377.
    42. Amaya, Diego & Christoffersen, Peter & Jacobs, Kris & Vasquez, Aurelio, 2015. "Does realized skewness predict the cross-section of equity returns?," Journal of Financial Economics, Elsevier, vol. 118(1), pages 135-167.
    43. Engle, Robert & Mistry, Abhishek, 2014. "Priced risk and asymmetric volatility in the cross section of skewness," Journal of Econometrics, Elsevier, vol. 182(1), pages 135-144.
    44. Carhart, Mark M, 1997. "On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
    45. Scott Cederburg & Michael S. O'Doherty, 2016. "Does It Pay to Bet Against Beta? On the Conditional Performance of the Beta Anomaly," Journal of Finance, American Finance Association, vol. 71(2), pages 737-774, April.
    46. Serhiy Kozak & Stefan Nagel & Shrihari Santosh, 2018. "Interpreting Factor Models," Journal of Finance, American Finance Association, vol. 73(3), pages 1183-1223, June.
    47. Sears, R Stephen & Wei, K C John, 1985. "Asset Pricing, Higher Moments, and the Market Risk Premium: A Note," Journal of Finance, American Finance Association, vol. 40(4), pages 1251-1253, September.
    48. Geske, Robert, 1979. "The valuation of compound options," Journal of Financial Economics, Elsevier, vol. 7(1), pages 63-81, March.
    49. Boehme, Rodney D. & Danielsen, Bartley R. & Kumar, Praveen & Sorescu, Sorin M., 2009. "Idiosyncratic risk and the cross-section of stock returns: Merton (1987) meets Miller (1977)," Journal of Financial Markets, Elsevier, vol. 12(3), pages 438-468, August.
    50. Pastor, Lubos & Stambaugh, Robert F., 2003. "Liquidity Risk and Expected Stock Returns," Journal of Political Economy, University of Chicago Press, vol. 111(3), pages 642-685, June.
    51. Todd Mitton & Keith Vorkink, 2007. "Equilibrium Underdiversification and the Preference for Skewness," The Review of Financial Studies, Society for Financial Studies, vol. 20(4), pages 1255-1288.
    52. Rui Albuquerque, 2012. "Skewness in Stock Returns: Reconciling the Evidence on Firm Versus Aggregate Returns," The Review of Financial Studies, Society for Financial Studies, vol. 25(5), pages 1630-1673.
    53. Alok Kumar, 2009. "Who Gambles in the Stock Market?," Journal of Finance, American Finance Association, vol. 64(4), pages 1889-1933, August.
    54. Xing, Yuhang & Zhang, Xiaoyan & Zhao, Rui, 2010. "What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(3), pages 641-662, June.
    55. Ai[diaeresis]t-Sahalia, Yacine & Kimmel, Robert, 2007. "Maximum likelihood estimation of stochastic volatility models," Journal of Financial Economics, Elsevier, vol. 83(2), pages 413-452, February.
    56. repec:bla:jfinan:v:59:y:2004:i:5:p:1957-1978 is not listed on IDEAS
    57. Nils Friewald & Christian Wagner & Josef Zechner, 2014. "The Cross-Section of Credit Risk Premia and Equity Returns," Journal of Finance, American Finance Association, vol. 69(6), pages 2419-2469, December.
    58. Eugene F. Fama & Kenneth R. French, 2004. "The Capital Asset Pricing Model: Theory and Evidence," Journal of Economic Perspectives, American Economic Association, vol. 18(3), pages 25-46, Summer.
    59. Andrea Buraschi & Fabio Trojani & Andrea Vedolin, 2014. "Economic Uncertainty, Disagreement, and Credit Markets," Management Science, INFORMS, vol. 60(5), pages 1281-1296, May.
    60. Fu, Fangjian, 2009. "Idiosyncratic risk and the cross-section of expected stock returns," Journal of Financial Economics, Elsevier, vol. 91(1), pages 24-37, January.
    61. Harrison Hong & David A. Sraer, 2016. "Speculative Betas," Journal of Finance, American Finance Association, vol. 71(5), pages 2095-2144, October.
    62. Haugen, Robert A. & Heins, A. James, 1975. "Risk and the Rate of Return on Financial Assets: Some Old Wine in New Bottles," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 10(5), pages 775-784, December.
    63. Peter Carr & Liuren Wu, 2011. "A Simple Robust Link Between American Puts and Credit Protection," The Review of Financial Studies, Society for Financial Studies, vol. 24(2), pages 473-505.
    64. Strebulaev, Ilya A. & Yang, Baozhong, 2013. "The mystery of zero-leverage firms," Journal of Financial Economics, Elsevier, vol. 109(1), pages 1-23.
    65. repec:bla:jfinan:v:53:y:1998:i:3:p:1131-1147 is not listed on IDEAS
    66. Brian Boyer & Todd Mitton & Keith Vorkink, 2010. "Expected Idiosyncratic Skewness," The Review of Financial Studies, Society for Financial Studies, vol. 23(1), pages 169-202, January.
    67. Ian Martin, 2011. "Simple Variance Swaps," NBER Working Papers 16884, National Bureau of Economic Research, Inc.
    68. Campbell R. Harvey & Akhtar Siddique, 2000. "Conditional Skewness in Asset Pricing Tests," Journal of Finance, American Finance Association, vol. 55(3), pages 1263-1295, June.
    69. Kraus, Alan & Litzenberger, Robert H, 1976. "Skewness Preference and the Valuation of Risk Assets," Journal of Finance, American Finance Association, vol. 31(4), pages 1085-1100, September.
    70. Bali, Turan G. & Murray, Scott, 2013. "Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(4), pages 1145-1171, August.
    71. Roman Kozhan & Anthony Neuberger & Paul Schneider, 2013. "The Skew Risk Premium in the Equity Index Market," The Review of Financial Studies, Society for Financial Studies, vol. 26(9), pages 2174-2203.
    72. Bali, Turan G. & Brown, Stephen J. & Murray, Scott & Tang, Yi, 2017. "A Lottery-Demand-Based Explanation of the Beta Anomaly," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(6), pages 2369-2397, December.
    73. Friend, Irwin & Westerfield, Randolph, 1980. "Co-Skewness and Capital Asset Pricing," Journal of Finance, American Finance Association, vol. 35(4), pages 897-913, September.
    74. Christopher L. Culp & Yoshio Nozawa & Pietro Veronesi, 2014. "Option-Based Credit Spreads," NBER Working Papers 20776, National Bureau of Economic Research, Inc.
    75. Viktor Todorov, 2010. "Variance Risk-Premium Dynamics: The Role of Jumps," The Review of Financial Studies, Society for Financial Studies, vol. 23(1), pages 345-383, January.
    76. Veronesi, Pietro & Nozawa, Yoshio & Culp, Christopher L., 2014. "Option-Based Credit Spreads," CEPR Discussion Papers 10318, C.E.P.R. Discussion Papers.
    77. Elise Gourier, 2016. "Pricing of Idiosyncratic Equity and Variance Risks," Working Papers 781, Queen Mary University of London, School of Economics and Finance.
    78. Bing Han, 2008. "Investor Sentiment and Option Prices," The Review of Financial Studies, Society for Financial Studies, vol. 21(1), pages 387-414, January.
    79. Black, Fischer, 1972. "Capital Market Equilibrium with Restricted Borrowing," The Journal of Business, University of Chicago Press, vol. 45(3), pages 444-455, July.
    80. Malcolm Baker & Jeffrey Wurgler, 2015. "Do Strict Capital Requirements Raise the Cost of Capital? Bank Regulation, Capital Structure, and the Low-Risk Anomaly," American Economic Review, American Economic Association, vol. 105(5), pages 315-320, May.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Bollerslev, Tim & Todorov, Viktor, 2023. "The jump leverage risk premium," Journal of Financial Economics, Elsevier, vol. 150(3).
    2. Sehgal, Sanjay & Rakhyani, Sarika & Deisting, Florent, 2022. "Does betting against beta strategy work in major Asian Markets?," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).
    3. Asness, Cliff & Frazzini, Andrea & Gormsen, Niels Joachim & Pedersen, Lasse Heje, 2020. "Betting against correlation: Testing theories of the low-risk effect," Journal of Financial Economics, Elsevier, vol. 135(3), pages 629-652.
    4. Ding, Wenjie & Mazouz, Khelifa & Wang, Qingwei, 2021. "Volatility timing, sentiment, and the short-term profitability of VIX-based cross-sectional trading strategies," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 42-56.
    5. Poon, Percy & Yao, Tong & Zhang, Andrew (Jianzhong), 2022. "The alphas of beta and idiosyncratic volatility," Journal of Financial Markets, Elsevier, vol. 61(C).
    6. Bradrania, Reza & Veron, Jose Francisco, 2023. "The beta anomaly in the Australian stock market and the lottery demand," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
    7. Chabi-Yo, Fousseni & Huggenberger, Markus & Weigert, Florian, 2022. "Multivariate crash risk," Journal of Financial Economics, Elsevier, vol. 145(1), pages 129-153.
    8. Ayadi, Mohamed A. & Cao, Xu & Lazrak, Skander & Wang, Yan, 2019. "Do idiosyncratic skewness and kurtosis really matter?," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    9. Christoffersen, Peter & Fournier, Mathieu & Jacobs, Kris & Karoui, Mehdi, 2021. "Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 56(1), pages 65-91, February.
    10. Bodilsen, Simon & Eriksen, Jonas N. & Grønborg, Niels S., 2021. "Asset pricing and FOMC press conferences," Journal of Banking & Finance, Elsevier, vol. 128(C).
    11. Corvino, Raffaele & Ruggiero, Francesco, 2021. "The relative pricing of sovereign credit risk after the Eurozone crisis," Journal of International Money and Finance, Elsevier, vol. 112(C).
    12. Khashanah, Khaldoun & Simaan, Majeed & Simaan, Yusif, 2022. "Do we need higher-order comoments to enhance mean-variance portfolios? Evidence from a simplified jump process," International Review of Financial Analysis, Elsevier, vol. 81(C).
    13. Stanislav Anatolyev & Anton Petukhov, 2016. "Uncovering the Skewness News Impact Curve," Journal of Financial Econometrics, Oxford University Press, vol. 14(4), pages 746-771.
    14. Liu, Jianan & Stambaugh, Robert F. & Yuan, Yu, 2018. "Absolving beta of volatility’s effects," Journal of Financial Economics, Elsevier, vol. 128(1), pages 1-15.
    15. Bali, Turan G. & Gunaydin, A. Doruk & Jansson, Thomas & Karabulut, Yigitcan, 2023. "Do the rich gamble in the stock market? Low risk anomalies and wealthy households," Journal of Financial Economics, Elsevier, vol. 150(2).
    16. Dobrynskaya, Victoria, 2019. "Avoiding momentum crashes: Dynamic momentum and contrarian trading," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
    17. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, February.
    18. Kim, Hyuksoo & Kim, Saejoon, 2022. "Managing downside risk of low-risk anomaly portfolios," Finance Research Letters, Elsevier, vol. 46(PB).
    19. Bradrania, Reza & Veron, Jose Francisco & Wu, Winston, 2023. "The beta anomaly and the quality effect in international stock markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 38(C).
    20. Victoria Dobrynskaya, 2017. "Dynamic Momentum and Contrarian Trading," HSE Working papers WP BRP 61/FE/2017, National Research University Higher School of Economics.
    21. Korn, Olaf & Kuntz, Laura-Chloé, 2015. "Low-beta investment strategies," CFR Working Papers 15-17, University of Cologne, Centre for Financial Research (CFR).
    22. Korn, Olaf & Kuntz, Laura-Chloé, 2017. "Low-beta strategies," CFR Working Papers 15-17 [rev.], University of Cologne, Centre for Financial Research (CFR), revised 2017.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, February.
    2. Langlois, Hugues, 2020. "Measuring skewness premia," Journal of Financial Economics, Elsevier, vol. 135(2), pages 399-424.
    3. Xu, Zhongxiang & Chevapatrakul, Thanaset & Li, Xiafei, 2019. "Return asymmetry and the cross section of stock returns," Journal of International Money and Finance, Elsevier, vol. 97(C), pages 93-110.
    4. Joshua Traut, 2023. "What we know about the low-risk anomaly: a literature review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(3), pages 297-324, September.
    5. Xu, Zhongxiang & Li, Xiafei & Chevapatrakul, Thanaset & Gao, Ning, 2022. "Default risk, macroeconomic conditions, and the market skewness risk premium," Journal of International Money and Finance, Elsevier, vol. 127(C).
    6. Doina C. Chichernea & Haimanot Kassa & Steve L. Slezak, 2019. "Lottery preferences and the idiosyncratic volatility puzzle," European Financial Management, European Financial Management Association, vol. 25(3), pages 655-683, June.
    7. Andreas Oehler & Julian Schneider, 2022. "Gambling with lottery stocks?," Journal of Asset Management, Palgrave Macmillan, vol. 23(6), pages 477-503, October.
    8. Ayadi, Mohamed A. & Cao, Xu & Lazrak, Skander & Wang, Yan, 2019. "Do idiosyncratic skewness and kurtosis really matter?," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    9. Zhong, Angel & Gray, Philip, 2016. "The MAX effect: An exploration of risk and mispricing explanations," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 76-90.
    10. Bali, Turan G. & Cakici, Nusret & Whitelaw, Robert F., 2011. "Maxing out: Stocks as lotteries and the cross-section of expected returns," Journal of Financial Economics, Elsevier, vol. 99(2), pages 427-446, February.
    11. Hollstein, Fabian & Nguyen, Duc Binh Benno & Prokopczuk, Marcel, 2019. "Asset prices and “the devil(s) you know”," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 20-35.
    12. Byun, Suk-Joon & Kim, Da-Hea, 2016. "Gambling preference and individual equity option returns," Journal of Financial Economics, Elsevier, vol. 122(1), pages 155-174.
    13. Sirio Aramonte & Mohammad R. Jahan-Parvar & Samuel Rosen & John W. Schindler, 2022. "Firm-Specific Risk-Neutral Distributions with Options and CDS," Management Science, INFORMS, vol. 68(9), pages 7018-7033, September.
    14. Benjamin M Blau & Ryan J Whitby, 2017. "Range-based volatility, expected stock returns, and the low volatility anomaly," PLOS ONE, Public Library of Science, vol. 12(11), pages 1-19, November.
    15. Ahmed, Walid M.A., 2020. "Is there a risk-return trade-off in cryptocurrency markets? The case of Bitcoin," Journal of Economics and Business, Elsevier, vol. 108(C).
    16. Kinateder, Harald & Papavassiliou, Vassilios G., 2019. "Sovereign bond return prediction with realized higher moments," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 62(C), pages 53-73.
    17. Manuel Ammann & Alexander Feser, 2019. "Option-implied Value-at-Risk and the cross-section of stock returns," Review of Derivatives Research, Springer, vol. 22(3), pages 449-474, October.
    18. Shiyang Huang & Xin Liu & Dong Lou & Christopher Polk, 2024. "The Booms and Busts of Beta Arbitrage," Management Science, INFORMS, vol. 70(8), pages 5367-5385, August.
    19. Chang, Bo Young & Christoffersen, Peter & Jacobs, Kris, 2013. "Market skewness risk and the cross section of stock returns," Journal of Financial Economics, Elsevier, vol. 107(1), pages 46-68.
    20. Asness, Cliff & Frazzini, Andrea & Gormsen, Niels Joachim & Pedersen, Lasse Heje, 2020. "Betting against correlation: Testing theories of the low-risk effect," Journal of Financial Economics, Elsevier, vol. 135(3), pages 629-652.

    More about this item

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jfinan:v:75:y:2020:i:5:p:2673-2718. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/afaaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.