Do Stock Markets Price Skewness? New Evidence from Quantile Regression Skewness Forecasts
Aretz, Kevin; Arisoy, Eser (2017), Do Stock Markets Price Skewness? New Evidence from Quantile Regression Skewness Forecasts. https://basepub.dauphine.fr/handle/123456789/16340
Type
Document de travail / Working paperExternal document link
http://dx.doi.org/10.2139/ssrn.2494291Date
2017Publisher
Université Paris-Dauphine
Series title
Cahier de recherche DRMPublished in
Paris
Metadata
Show full item recordAbstract (EN)
We use density forecasts derived from recursively estimated quantile regressions to calculate a forecast of the physical skewness of an asset's future return distribution. The forecast is unbiased and efficient, and it can easily be adapted to forecast the skewness of returns calculated over any conceivable return interval. Using Neuberger's (2012) realized physical skewness, we show that our quantile regression skewness forecast outperforms other variables proposed in the literature. Despite this, it does not condition the cross-section of future stock returns, neither independently nor when combined with other forecasts. Overall, we cast doubt on whether stock markets price expected stock skewness.Subjects / Keywords
Asset pricing, ex-ante physical skew, realized skewness, quantile regression models; G11; G12; G15Related items
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