| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11455 |
| DP11455 Expected skewness and momentum | |
| Martin Weber | |
| 发表日期 | 2016-08-23 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | Motivated by the time-series insights of Daniel and Moskowitz (2016), we investigate the link between expected skewness and momentum in the cross-section. The alpha of skewness-enhanced (-weakened) momentum is about twice (half) as large as the traditional alpha. These findings are driven by the short leg. Portfolio sorts, Fama-MacBeth regressions, and the market reaction to earnings announcements suggest that expected skewness is an important determinant of momentum. Due to the simplicity of the approach, its economic magnitude, its existence among large stocks, and the success of risk management, the results are difficult to reconcile with the efficient market hypothesis. |
| 主题 | Financial Economics |
| 关键词 | Momentum Skewness Market efficiency Return predictability Behavioral finance |
| URL | https://cepr.org/publications/dp11455 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/540269 |
| 推荐引用方式 GB/T 7714 | Martin Weber. DP11455 Expected skewness and momentum. 2016. |
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