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- W3124629001 abstract "This study investigates the cross-country impact of U.S. equity market skewness risk. We find that a large decrease in the U.S. market skewness significantly predicts high future returns on international equity markets. The predictability remains significant after controlling for a set of U.S. and local forecasting variables. Furthermore, we find strong predictability in an out-of-sample setting and the predictability delivers a large economic value. The U.S. market skewness also forecasts U.S. economic recessions and international market conditions, consistent with the international three-moment capital asset pricing model (three-moment CAPM) and intertemporal capital asset pricing model (ICAPM)." @default.
- W3124629001 created "2021-02-01" @default.
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- W3124629001 date "2017-01-01" @default.
- W3124629001 modified "2023-09-23" @default.
- W3124629001 title "The World Price of Skewness Risk" @default.
- W3124629001 doi "https://doi.org/10.2139/ssrn.2927920" @default.
- W3124629001 hasPublicationYear "2017" @default.
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