Average skewness in global equity markets

Atılgan, Yiğit and Demirtaş, Özgür and Günaydın, A. Doruk and Kirli, Imra (2022) Average skewness in global equity markets. International Review of Finance . ISSN 1369-412X (Print) 1468-2443 (Online) Published Online First https://dx.doi.org/10.1111/irfi.12395

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This paper examines the predictive power of average skewness, defined as the average of monthly skewness values across stocks, documented by the prior literature for US market returns in an international setting. First, we confirm the validity of the results in the original study and show that the intertemporal relation between average skewness and aggregate returns becomes weaker in an alternative sample period. Second, when we repeat the analysis in 22 developed non-US markets, we find that average skewness has no robust predictive power for future market returns. The loss of forecasting power in the international sample does not depend on the method used to calculate average skewness or the regression specification and is supported by additional out-of-sample tests and subsample analysis.
Item Type: Article
Uncontrolled Keywords: average skewness; equity returns; international finance; market skewness; time-series predictability; volatility
Divisions: Sabancı Business School > Accounting and Finance
Sabancı Business School
Depositing User: Yiğit Atılgan
Date Deposited: 25 Mar 2023 16:06
Last Modified: 25 Mar 2023 16:06
URI: https://research.sabanciuniv.edu/id/eprint/45122

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