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Asset Pricing with Systematic Skewness: Two Decades Later

https://doi.org/10.1561/104.00000133
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/0304-405x(93)90023-5openalex-snapshot
Common risk factors in the returns on stocks and bonds
inferredcites →https://doi.org/10.1016/j.jfineco.2019.06.002openalex-snapshot
Measuring Skewness Premia
inferredcites →https://doi.org/10.1086/260061openalex-snapshot
Risk, Return, and Equilibrium: Empirical Tests
inferredcites →https://doi.org/10.1093/rfs/hhp041openalex-snapshot
Expected Idiosyncratic Skewness
inferredcites →https://doi.org/10.1093/rfs/hhv059openalex-snapshot
Editor's Choice … and the Cross-Section of Expected Returns
inferredcites →https://doi.org/10.1093/rfs/hhw091openalex-snapshot
Asymmetries and Portfolio Choice
inferredcites →https://doi.org/10.1093/rfs/hhy030openalex-snapshot
The History of the Cross-Section of Stock Returns
inferredcites →https://doi.org/10.1111/0022-1082.00247openalex-snapshot
Conditional Skewness in Asset Pricing Tests
inferredcites →https://doi.org/10.1111/1540-6261.00425openalex-snapshot
Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1980.tb03509.xopenalex-snapshot
On The Direction of Preference for Moments of Higher Order Than The Variance
inferredcites →https://doi.org/10.1111/j.1540-6261.1992.tb04398.xopenalex-snapshot
The Cross-Section of Expected Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03808.xopenalex-snapshot
On Persistence in Mutual Fund Performance
inferredcites →https://doi.org/10.1111/j.1540-6261.2011.01671.xopenalex-snapshot
Presidential Address: Discount Rates
inferredcites →https://doi.org/10.1111/j.1540-6261.2012.01795.xopenalex-snapshot
Ex Ante Skewness and Expected Stock Returns
inferredcites →https://doi.org/10.1111/jofi.12365openalex-snapshot
Does Academic Research Destroy Stock Return Predictability?
inferredcites →https://doi.org/10.1111/jofi.12883openalex-snapshot
Taming the Factor Zoo: A Test of New Factors
inferredcites →https://doi.org/10.1111/jofi.12910openalex-snapshot
Low‐Risk Anomalies?
inferredcites →https://doi.org/10.1287/mnsc.39.5.568openalex-snapshot
Portfolio Selection and Asset Pricing—Three-Parameter Framework
inferredcites →https://doi.org/10.2139/ssrn.1572827openalex-snapshot
Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?
inferredcites →https://doi.org/10.2139/ssrn.194948openalex-snapshot
Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices
inferredcites →https://doi.org/10.2139/ssrn.630821openalex-snapshot
Equilibrium Underdiversification and the Preference for Skewness
inferredcites →https://doi.org/10.2139/ssrn.649421openalex-snapshot
Stocks as Lotteries: the Implications of Probability Weighting for Security Prices
inferredcites →https://doi.org/10.2139/ssrn.98678openalex-snapshot
Characteristics, Covariances, and Average Returns: 1929-1997
inferredcites →https://doi.org/10.2307/1913625openalex-snapshot
A Test of the Efficiency of a Given Portfolio
inferredcites →https://doi.org/10.2307/2329748openalex-snapshot
The Fundamental Theorem of Parameter-Preference Security Valuation
inferredcites →https://doi.org/10.2307/2938334openalex-snapshot
Precautionary Saving in the Small and in the Large

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Econometric Identification of the Attainable Maximal Sharpe Ratio by Optimal Shrinkage of the Cross-Section of Asset Returns
inferred← citeshttps://doi.org/10.2139/ssrn.4792666openalex-extracted
The Concave and Convex Profiles of Productive and Scarce Assets
inferred← citeshttps://doi.org/10.1002/fut.22615openalex-snapshot
Skewness Premium for Short‐Term Exposure to Squared Market Returns
inferred← citeshttps://doi.org/10.1016/j.econlet.2024.111531openalex-snapshot
Econometric identification of the attainable maximal sharpe ratio by optimal shrinkage of the cross-section of asset returns
inferred← citeshttps://doi.org/10.1016/j.intfin.2022.101690openalex-snapshot
Investor Heterogeneity and Negative Skewness in Stock Returns: Evidence from Institutional Investors
inferred← citeshttps://doi.org/10.1016/j.iref.2024.103558openalex-snapshot
Monetary policy shocks and the high-frequency network connectedness of stock markets
inferred← citeshttps://doi.org/10.2139/ssrn.4977978openalex-snapshot
Can Prudence and Moderation Explain Why Investors Simultaneously Love and Hate Reits?
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