Conditional Skewness in Asset Pricing Tests
提出一个包含条件偏度的资产定价模型，发现系统性偏度能解释预期收益的横截面差异，且平均每年带来3.60%的风险溢价，同时动量效应与系统性偏度相关。
If asset returns have systematic skewness, expected returns should include rewards for accepting this risk. We formalize this intuition with an asset pricing model that incorporates conditional skewness. Our results show that conditional skewness helps explain the cross‐sectional variation of expected returns across assets and is significant even when factors based on size and book‐to‐market are included. Systematic skewness is economically important and commands a risk premium, on average, of 3.60 percent per year. Our results suggest that the momentum effect is related to systematic skewness. The low expected return momentum portfolios have higher skewness than high expected return portfolios.