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Measuring Skewness Premia · Study

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ArticleMeasuring Skewness Premia

Hugues Langlois2018

OA

Articlegreen2018

Measuring Skewness Premia

Hugues Langlois

89 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 89 citations exist upstream.

References

1993Common risk factors in the returns on stocks and bonds 1997On Persistence in Mutual Fund Performance 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 2002Illiquidity and stock returns: cross-section and time-series effects 2014A five-factor asset pricing model 2003Liquidity Risk and Expected Stock Returns 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction 2000Conditional Skewness in Asset Pricing Tests

Cited by

2021Multiscale interplay of higher-order moments between the carbon and energy markets during Phase III of the EU ETS 2021Realized semibetas: Disentangling “good” and “bad” downside risks

Details

Year2018

Typearticle

Published2018-01-01

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations89

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.1016/j.jfineco.2019.06.002

openalex_workW2811352879

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