|
Based on your IP address, your paper is being delivered by:
|
 |
 |
 |
 |
 |
New York, USA
Processing request.
|
Illinois, USA
Processing request.
|
Brussels, Belgium
Processing request.
|
Seoul, Korea
Processing request.
|
California, USA
Processing request.
|
If you have any problems downloading this paper,
please click on another Download Location above, or
File name: 2451. ; Size: 191K
|
|
Priced Risk and Asymmetric Volatility in the Cross-Section of Skewness
Robert F. Engle
New York University - Leonard N. Stern School of Business - Department of Economics; National Bureau of Economic Research (NBER); New York University (NYU) - Department of Finance
Abhishek Mistry
affiliation not provided to SSRN
February 2009
NYU Working Paper No. FIN-08-042
Abstract:
We investigate the sources of skewness in aggregate risk-factors and the cross-section of stock returns. In an ICAPM setting with conditional volatility, we find theoretical time series predictions on the relationships among volatility, returns, and skewness for priced risk factors. Market returns resemble these predictions; however, size, book-to-market, and momentum factor returns show alternative behavior, leading us to conclude these factors are not priced risks. We link aggregate risk and skewness to individual stocks and find empirically that the risk aversion effect manifests in individual stock skewness. Additionally, we find several firm characteristics that explain stock skewness. Smaller firms, value firms, highly levered firms, and firms with poor credit ratings have more positive skewness.
Number of Pages in PDF File: 28
working papers series
Download This Paper
Date posted: March 9, 2009
Suggested CitationEngle, Robert F. and Mistry, Abhishek, Priced Risk and Asymmetric Volatility in the Cross-Section of Skewness (February 2009). NYU Working Paper No. FIN-08-042. Available at SSRN: http://ssrn.com/abstract=1354529
|
| Feedback to SSRN (Beta) |
|
|
|
|
|
|
