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Cited by 833

The DOI matches its Crossref record; 44 of the 44 references it cites were found in a registry or an index.

Expected Idiosyncratic Skewness

Boyer, Brian, Mitton, Todd, Vorkink, Keith·2010·Review of Financial Studies
DOI 10.1093/rfs/hhp041
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Abstract

We test the prediction of recent theories that stocks with high idiosyncratic skewness should have low expected returns. Because lagged skewness alone does not adequately forecast skewness, we estimate a cross-sectional model of expected skewness that uses additional predictive variables. Consistent with recent theories, we find that expected idiosyncratic skewness and returns are negatively correlated. Specifically, the Fama-French alpha of a low-expected-skewness quintile exceeds the alpha of a high-expected-skewness quintile by 1.00% per month. Furthermore, the coefficients on expected skewness in Fama-MacBeth cross-sectional regressions are negative and significant. In addition, we find that expected skewness helps explain the phenomenon that stocks with high idiosyncratic volatility have low expected returns.

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Metadata

Authors
Boyer, B., Mitton, T., & Vorkink, K.
Venue
Review of Financial Studies
Publisher
Oxford University Press (OUP)
Published
2009-06-03
Volume
23
Issue
1
Pages
169-202
ISSN
  • 0893-9454 (ISSN-L)
  • 1465-7368
DOI
10.1093/rfs/hhp041
OpenAlex
W3121128063
Cited by
833
References
44
FWCI
44.26
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Expected Idiosyncratic Skewness. https://app.cochat.ai/papers/10.1093/rfs/hhp041
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Boyer, B., Mitton, T., & Vorkink, K. (2010). Expected Idiosyncratic Skewness. Review of Financial Studies. https://doi.org/10.1093/rfs/hhp041

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