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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 paper
External document link
http://dx.doi.org/10.2139/ssrn.2494291
Date
2017
Publisher
Université Paris-Dauphine
Series title
Cahier de recherche DRM
Published in
Paris
Metadata
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Author(s)
Aretz, Kevin
Arisoy, Eser
Abstract (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; G15
JEL
G15 - International Financial Markets
G12 - Asset Pricing; Trading Volume; Bond Interest Rates
G11 - Portfolio Choice; Investment Decisions

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