The world predictive power of U.S. equity market skewness risk

• Main Authors: CHEN, Jian, JIANG, Fuwei, XUE, Shuyu, YAO, Jiaquan
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2019
• 主題: International stock markets; Market crash; Return predictability; Skewness risk; Finance; Finance and Financial Management
• 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
• 機構: Singapore Management University

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...