The DOI matches its Crossref record; 4 of the 4 references it cites were found in a registry or an index.
Ex Ante Skewness and Expected Stock Returns
Abstract
We use option prices to estimate ex ante higher moments of the underlying individual securities’ risk‐neutral returns distribution. We find that individual securities’ risk‐neutral volatility, skewness, and kurtosis are strongly related to future returns. Specifically, we find a negative (positive) relation between ex ante volatility (kurtosis) and subsequent returns in the cross‐section, and more ex ante negatively (positively) skewed returns yield subsequent higher (lower) returns. We analyze the extent to which these returns relations represent compensation for risk and find evidence that, even after controlling for differences in co‐moments, individual securities’ skewness matters.
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Citations
Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
On Persistence in Mutual Fund Performance
Carhart, M. M. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb03808.x · Cited by 17,283
Advances in prospect theory: Cumulative representation of uncertainty
Tversky, A., & Kahneman, D. (1992) · Journal of Risk and Uncertainty · doi:10.1007/bf00122574 · Cited by 15,467
Shleifer, A., & Vishny, R. W. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb03807.x · Cited by 5,291
Cited by
… and the Cross-Section of Expected Returns
Harvey, C. R., Liu, Y., & Zhu, H. (2016) · Review of Financial Studies · doi:10.1093/rfs/hhv059 · Cited by 2,119
Stocks as Lotteries: The Implications of Probability Weighting for Security Prices
Barberis, N., & Huang, M. (2008) · American Economic Review · doi:10.1257/aer.98.5.2066 · Cited by 1,544
Financial Reporting Opacity and Expected Crash Risk: Evidence from Implied Volatility Smirks
Kim, J., & Zhang, L. (2014) · Contemporary Accounting Research · doi:10.1111/1911-3846.12048 · Cited by 486
Prospect Theory and Stock Returns: An Empirical Test
Barberis, N., Mukherjee, A., & Wang, B. (2016) · Review of Financial Studies · doi:10.1093/rfs/hhw049 · Cited by 336
Thirty Years of Prospect Theory in Economics: A Review and Assessment
Barberis, N. (2012) · SSRN Electronic Journal · doi:10.2139/ssrn.2177288 · Cited by 293
Metadata
- Authors
- CONRAD, J., DITTMAR, R. F., & GHYSELS, E.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2013-01-11
- Volume
- 68
- Issue
- 1
- Pages
- 85-124
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W3126009762
- Cited by
- 757
- References
- 4
- FWCI
- 66.86
- Type
- journal article
- Language
- en
- Open access
- closed
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- CONRAD, J., DITTMAR, R. F., & GHYSELS, E. (2013). Ex Ante Skewness and Expected Stock Returns. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.2012.01795.x
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