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

Jan Annaert; Marc De Ceuster; Jef Van Cappellen

doi:10.1016/j.frl.2022.103375

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

Jan Annaert, Marc De Ceuster, Jef Van Cappellen^*

^*Corresponding author for this work

Department of Applied Finance

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Article number	103375
Pages (from-to)	1-8
Number of pages	8
Journal	Finance Research Letters
Volume	52
DOIs	https://doi.org/10.1016/j.frl.2022.103375
Publication status	Published - Mar 2023

Keywords

Average skewness
Stock market return predictability

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10.1016/j.frl.2022.103375

Cite this

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title = "Can average skewness really predict financial returns? The euro area case",

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.",

keywords = "Average skewness, Stock market return predictability",

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AB - 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.

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

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Keywords

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