IDEAS home Printed from https://ideas.repec.org/p/ebg/heccah/1432.html
   My bibliography  Save this paper

Asset Pricing with Systematic Skewness: Two Decades Later

Author

Listed:
  • Anghel, Dan

    (Bucharest University of Economic Studies)

  • Caraiani, Petre

    (Romanian Academy)

  • Rosu, Alina

    (HEC Paris)

  • Rosu, Ioanid

    (HEC Paris)

Abstract

We reexamine the asset pricing performance of systematic skewness ("coskewness"), a risk factor in the three-moment CAPM model of Kraus and Litzenberger (1976). In an influential paper, Harvey and Siddique (2000) test a coskewness factor constructed by sorting stocks on past coskewness. We replicate and extend their paper. Overall, coskewness appears to be priced in the cross section of stocks, especially when using an alternative coskewness proxy like (i) the predicted systematic skewness (PSS) of Langlois (2020), where coskewness is predicted by various firm characteristics, or (ii) a modified PSS factor (mPSS) that uses only return-based characteristics.

Suggested Citation

  • Anghel, Dan & Caraiani, Petre & Rosu, Alina & Rosu, Ioanid, 2021. "Asset Pricing with Systematic Skewness: Two Decades Later," HEC Research Papers Series 1432, HEC Paris.
    • Handle: RePEc:ebg:heccah:1432
    DOI: 10.2139/ssrn.3872128
    as

    Download full text from publisher

    File URL: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3872128
    File Function: Full text
    Download Restriction: no
    File URL: https://libkey.io/10.2139/ssrn.3872128?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:

    More about this item

    Keywords

    Skewness; coskewness; three-moment CAPM; persistent factors; expected return;
    All these keywords.

    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:ebg:heccah:1432. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Antoine Haldemann (email available below). General contact details of provider: https://edirc.repec.org/data/hecpafr.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.