Student or educator? Sign up with your school email and get 6 months of Pro free.
CoChat
Sign Up
Cited by 2,827

The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.

Conditional Skewness in Asset Pricing Tests

Open access
Harvey, Campbell R., Siddique, Akhtar·2000·The Journal of Finance
DOI 10.1111/0022-1082.00247
Open this paper in CoChat — free account

Abstract

If asset returns have systematic skewness, expected returns should include rewards for accepting this risk. We formalize this intuition with an asset pricing model that incorporates conditional skewness. Our results show that conditional skewness helps explain the cross‐sectional variation of expected returns across assets and is significant even when factors based on size and book‐to‐market are included. Systematic skewness is economically important and commands a risk premium, on average, of 3.60 percent per year. Our results suggest that the momentum effect is related to systematic skewness. The low expected return momentum portfolios have higher skewness than high expected return portfolios.

Overview

The claims and statistics of this paper haven’t been checked yet.

Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.

A few free checks a day · papers already verified open instantly · results are public

Integrity signals

Registry

Crossref · 10.1111/0022-1082.00247

Cites

3 of 3 references verified0 citation errors · 0 not checkable

Statistics

Verification

Claims the paper makes

The claims and statistics of this paper haven’t been checked yet.

Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.

A few free checks a day · papers already verified open instantly · results are public

Self-check

Percentages, sums and reported differences re-computed from the paper’s own numbers.

The self-check needs the paper’s full text.

Citations

Cites

Show all 3 references

Cited by

See all 2,827

Metadata

Authors
Harvey, C. R., & Siddique, A.
Venue
The Journal of Finance
Publisher
Wiley
Published
2000-06
Volume
55
Issue
3
Pages
1263-1295
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/0022-1082.00247
OpenAlex
W2124601071
Cited by
2,827
References
3
FWCI
57.96
Type
journal article
Language
en
Open access
green

About these checks

Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.

Statistics and arithmetic are recomputed, not judged.

Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.

What counts as a claim ›How we measure confidence ›How we check this ›

Are you an author, or do you see a problem with this page? Request a review

How to cite

Cite CoChat for the checks on this page, and the paper for its own findings.

This page
CoChat. (2026). Citation check: Conditional Skewness in Asset Pricing Tests. https://app.cochat.ai/papers/10.1111/0022-1082.00247
The paper
Harvey, C. R., & Siddique, A. (2000). Conditional Skewness in Asset Pricing Tests. The Journal of Finance. https://doi.org/10.1111/0022-1082.00247

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.