Market skewness risk and the cross section of stock returns
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DOI: 10.1016/j.jfineco.2012.07.002
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- Chang, Bo Young & Christoffersen, Peter & Jacobs, Kris, 2010. "Market Skewness Risk and the Cross-Section of Stock Returns," Working Papers 11-18, University of Pennsylvania, Wharton School, Weiss Center.
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More about this item
Keywords
Skewness risk; Cross section; Volatility risk; Option-implied moments; Factor-mimicking portfolios;JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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