Systematic Skewness and Stock Returns
重新审视系统偏度与股票收益的关系，发现系统偏度溢价随时间变化，且系统偏度对收益的解释力超过多数常见特征，仅弱于规模和动量。
Abstract This paper revisits the relation between systematic skewness and returns, showing two main findings. First, the systematic skewness premium in individual stocks is time varying. When either skewness preference or systematic skewness is above rather than below the median, the premium is 4% higher. The combined effect of the two induces time variation in the premium of about 7%. Second, systematic skewness has significant additional explanatory power in explaining returns relative to most common characteristics, except size and momentum. These two results imply that skewness preference is an important determinant of expected returns providing a possible rationale for size and momentum.