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On the pricing of expected idiosyncratic skewness

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  • Cui, Xiangyu
  • Guan, Zheng

Abstract

We document new findings on pricing of expected idiosyncratic skewness (EIS) in U.S. market: only stocks with large EIS have significantly negative future return; probability weighting of the market plays a role; EIS of stocks has a common factor.

Suggested Citation

  • Cui, Xiangyu & Guan, Zheng, 2022. "On the pricing of expected idiosyncratic skewness," Economics Letters, Elsevier, vol. 216(C).
    • Handle: RePEc:eee:ecolet:v:216:y:2022:i:c:s0165176522001690
    DOI: 10.1016/j.econlet.2022.110578
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    References listed on IDEAS

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    More about this item

    Keywords

    Expected idiosyncratic skewness; Probability weighting; Common factor;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets

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