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Can average skewness really predict financial returns? The euro area case

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  • Annaert, Jan
  • De Ceuster, Marc
  • Van Cappellen, Jef

Abstract

Jondeau et al. (2020) find evidence that average stock return skewness predicts stock market returns. Although this evidence is consistent with asset pricing theory, we are not able to replicate this result on a broad sample of stock returns taken from the well-developed euro area stock markets. Nor does accounting for potential slower information dissemination or using two alternative skewness estimators lead to finding predictability.

Suggested Citation

  • Annaert, Jan & De Ceuster, Marc & Van Cappellen, Jef, 2023. "Can average skewness really predict financial returns? The euro area case," Finance Research Letters, Elsevier, vol. 52(C).
    • Handle: RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322005529
    DOI: 10.1016/j.frl.2022.103375
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    More about this item

    Keywords

    Average skewness; Stock market return predictability;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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