Co-Skewness across Return Horizons
研究了投资期限对资产共偏度的影响，发现共偏度在不同期限下可能正负反转，且仅对短期回报有定价作用，质疑了三矩模型的普适性。
Abstract In this article, the impact of investment horizon on asset co-skewness is examined both empirically and theoretically. We first detail a strong horizon-based estimation bias for co-skewness. An asset that has positive co-skewness at one horizon may have negative co-skewness for others. This phenomenon is particularly evident for small-capitalization stocks. We then propose a theoretical model to estimate long-horizon co-skewness using data observed at the shortest horizon, which emphasizes the role of adjustment delays in the pricing of market-wide information among securities. Co-skewness is only found to be priced in the cross-section of stock returns for a small range of short horizons, calling into question the universal validity of the three-moment model.