D. Anghel, Petre Caraiani, Alina Roşu, Ioanid Roşu
{"title":"Asset Pricing with Systematic Skewness: Two Decades Later","authors":"D. Anghel, Petre Caraiani, Alina Roşu, Ioanid Roşu","doi":"10.1561/104.00000133","DOIUrl":null,"url":null,"abstract":"We reexamine the asset pricing performance of systematic skew-ness (“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.","PeriodicalId":44331,"journal":{"name":"Critical Finance Review","volume":"114 1","pages":""},"PeriodicalIF":1.6000,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Critical Finance Review","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1561/104.00000133","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 2
Abstract
We reexamine the asset pricing performance of systematic skew-ness (“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.
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