Co-skewness and expected return: Evidence from international stock markets-Reference-Cited by-同舟云学术

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Co-skewness and expected return: Evidence from international stock markets

Published:2022-01 Issue: Volume:76 Page:101479
ISSN:1042-4431
Container-title:Journal of International Financial Markets, Institutions and Money
language:en
Short-container-title:Journal of International Financial Markets, Institutions and Money

Author:

Dong Liang,Kot Hung Wan,Lam Keith S.K.,Liu Ming

Funder

Education Department of Hunan Province

Universidade de Macau

Education Department of Henan Province

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference65 articles.

1. Does realized skewness predict the cross-section of equity returns?;Amaya;J. Financ. Econ.,2015

2. Illiquidity and stock returns: Cross-section and time-series effects;Amihud;J. Financial Markets,2002

3. Individualism and stock price crash risk;An;J. Int. Bus. Stud.,2018

4. The cross-section of volatility and expected returns;Ang;J. Finance,2006

5. High idiosyncratic volatility and low returns: International and further US evidence;Ang;J. Financ. Econ.,2009

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