Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory
研究发现专业预测者对GDP增长率的截面分布的第一和第三阶矩能预测股票超额收益，且该结果在控制多种已知预测因子后依然稳健；引入预期增长分布的时变偏度能显著提高模型隐含的股票夏普比率并产生风险溢价的大幅波动。
We document that the first and third cross-sectional moments of the distribution of GDP growth rates made by professional forecasters can predict equity excess returns, a finding which is robust to controlling for a large set of well established predictive factors. We show that introducing time-varying skewness in the distribution of expected growth prospects in an otherwise standard endowment economy can substantially increase the model implied equity Sharpe ratios, and produce a large amount of fluctuation in equity risk premia.