SKEWNESS AND COSKEWNESS IN BOND RETURNS
研究了债券收益的偏度和共偏度随时间变化，发现期限越长偏度越低、与市场指数的共偏度越低，信用评级越低偏度越低、共偏度越高，并比较了考虑与忽略共偏度的债券阿尔法差异。
Abstract Bond skewness and coskewness (i.e., bond return comovement with market volatility) are both time varying, with cross‐sectional variation driven by maturity and credit rating. Other things being equal, longer maturity bonds have lower skewness, and lower coskewness with respect to the bond market index; lower quality bonds have lower skewness, and higher coskewness with respect to the bond market index. Three‐moment bond alphas (which account for coskewness effects) are time varying and predictable by market default spread. They are significantly different from, and often are closer to zero than, two‐moment alphas (which ignore coskewness effects).