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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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2019
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| Subjects: | |
| Online Access: | 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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| Institution: | Singapore Management University |
| Language: | English |