Forecasting stock return: The role of idiosyncratic asymmetry risk
提出一种量化收益不对称的新方法，发现该指标能有效预测股票收益，且在中国市场的风险溢价约为美国市场的两倍，对研究资产定价和投资策略的学者有参考价值。
This paper introduces a novel methodology for quantifying return asymmetry. Our investigation yields two principal findings. First, through nonparametric testing, we establish that our proposed measure demonstrates enhanced testing efficiency relative to conventional third-order skewness. Second, our analysis reveals that the proposed asymmetry metric serves as a robust predictor of cross-sectional equity returns. Consistent with theoretical predictions in the extant literature, we document a negative relationship between return asymmetry and subsequent stock performance. Our empirical evidence suggests that the cross-sectional pricing power of the asymmetric measure can be partially attributed to mispricing and arbitrage constraints. Moreover, we find that the asymmetric risk premium in the Chinese stock market is approximately twice the magnitude observed in the U.S. market.