Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory-Reference-Cited by-同舟云学术

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

Published:2012 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Colacito Riccardo,Ghysels Eric,Meng Jinghan

Publisher

Elsevier BV

Reference49 articles.

1. The dynamics of risk-sensitive allocations;E Anderson;Journal of Economic Theory,2005

2. Risk and the required return on equity;F Arditti;Journal of Finance,1967

3. A class of distributions which includes the normal ones;A Azzalini;Scandinavian Journal of Statistics,1985

4. New Entropy Restrictions and the Quest for Better Specified Asset Pricing Models

5. Confidence risks and asset prices;R Bansal;American Economic Review,2010

Cited by 9 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Skewness Risk and Bond Prices;Journal of Applied Econometrics;2016-05-26

2. Rare Booms and Disasters in a Multisector Endowment Economy;Review of Financial Studies;2015-11-25

3. Does realized skewness predict the cross-section of equity returns?;Journal of Financial Economics;2015-10

4. Good and bad uncertainty: Macroeconomic and financial market implications;Journal of Financial Economics;2015-08

5. Skewness and Dispersion of Opinion and the Cross Section of Stock Returns;SSRN Electronic Journal;2015

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