Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory. Online Appendix.

61 Pages Posted: 2 Apr 2015 Last revised: 22 Aug 2015

See all articles by Ric Colacito

Ric Colacito

University of North Carolina Kenan-Flagler Business School; NBER

Eric Ghysels

University of North Carolina Kenan-Flagler Business School; University of North Carolina (UNC) at Chapel Hill - Department of Economics

Jinghan Meng

University of Hong Kong

Wasin Siwasarit

University of North Carolina (UNC) at Chapel Hill - Department of Economics

Date Written: August 22, 2015

Abstract

This paper provides robustness checks and analytical derivations to supplement the material presented in the paper Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory.

The paper to which these Appendices apply is available at the following URL: http://ssrn.com/abstract=2185659

Keywords: Skewness, Consumption, Macro-Finance, Recursive Preferences

JEL Classification: C22, C58, G12.

Suggested Citation

Colacito, Riccardo and Ghysels, Eric and Meng, Jinghan and Siwasarit, Wasin, Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory. Online Appendix. (August 22, 2015). Available at SSRN: https://ssrn.com/abstract=2587412 or http://dx.doi.org/10.2139/ssrn.2587412

Riccardo Colacito (Contact Author)

University of North Carolina Kenan-Flagler Business School ( email )

Kenan-Flagler Business School
Chapel Hill, NC 27599-3490
United States

HOME PAGE: http://drric.web.unc.edu/

NBER ( email )

1050 Massachusetts Avenue
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Eric Ghysels

University of North Carolina Kenan-Flagler Business School ( email )

Kenan-Flagler Business School
Chapel Hill, NC 27599-3490
United States

University of North Carolina (UNC) at Chapel Hill - Department of Economics ( email )

Gardner Hall, CB 3305
Chapel Hill, NC 27599
United States
919-966-5325 (Phone)
919-966-4986 (Fax)

HOME PAGE: http://https://eghysels.web.unc.edu/

Jinghan Meng

University of Hong Kong ( email )

Room 1001, 10/F
K.K. Leung Building
Pokfulam
Hong Kong
22194176 (Phone)

Wasin Siwasarit

University of North Carolina (UNC) at Chapel Hill - Department of Economics ( email )

Department of Economics CB 3305
Chapel Hill, NC 27599
United States
919-966-2383 (Phone)
919-966-4986 (Fax)

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