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- W3203389898 abstract "In this article, the authors propose a variance-dependent explanation for the contradiction between skewness preference and low expected return concerning lottery stocks. They emphasize an overlooked aspect of skewness as a risk measure: the return uncertainty of extreme events. They show that, during periods of low market volatility, investors dislike large-skewness securities owing to a fear of uncertain results. Thus, one observes a positive relation between skewness and expected return because the security is currently undervalued. Conversely, negative associations occur in high-volatility environments. This conditional skewness–return nexus is demonstrated to possess return predictability and can help in adjusting portfolios with profitable buying and selling decisions. <b>Key Findings</b> ▪ The authors propose variance-dependent skewness to reconcile the skewness preference for lottery stocks with their actual low expected returns. ▪ They emphasize skewness as a risk measure of the return uncertainty of extreme events. ▪ The authors construct portfolios based on the return predictability of skewness conditional on volatility and show that these portfolios remain profitable after considering transaction costs and restrictions on short sales." @default.
- W3203389898 created "2021-10-11" @default.
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- W3203389898 date "2021-10-05" @default.
- W3203389898 modified "2023-09-23" @default.
- W3203389898 title "Volatility-Dependent Skewness Preference" @default.
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- W3203389898 doi "https://doi.org/10.3905/jpm.2021.1.295" @default.
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