The world predictive power of U.S. equity market skewness risk
This study investigates the cross-country impact of U.S. equity market skewness risk. We find that a large decrease in the U.S. market skewness significantly predicts higher future returns on international equity markets. The predictability remains significant after controlling for a set of U.S. and...
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| Main Authors: | , , , |
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2019
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| 主題: | |
| 在線閱讀: | https://ink.library.smu.edu.sg/lkcsb_research/6323 https://ink.library.smu.edu.sg/context/lkcsb_research/article/7322/viewcontent/1_s20_S0261560619302694_main.pdf |
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| 機構: | Singapore Management University |
| 語言: | English |
| 總結: | This study investigates the cross-country impact of U.S. equity market skewness risk. We find that a large decrease in the U.S. market skewness significantly predicts higher future returns on international equity markets. The predictability remains significant after controlling for a set of U.S. and local forecasting variables. Furthermore, we find strong predictability in- an out-of-sample setting and the predictability delivers a large economic value. The U.S. market skewness also forecasts U.S. economic recessions and international market conditions, consistent with the international three-moment capital asset pricing model (three-moment CAPM) and the intertemporal capital asset pricing model (ICAPM). |
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