A0946
Title: Is skewness priced in empirical markets?
Authors: Jiayu Jin - The University of Manchester (United Kingdom) [presenting]
Kevin Aretz - The University of Manchester (United Kingdom)
Yifan Li - The University of Manchester (United Kingdom)
Abstract: Applying the two-stage GMM approach, the physical stochastic volatility model parameters for all single stocks recorded on markets between 1963 and 2020 are estimated. Relying on a newly proposed consistent skewness estimator that specifically targets the physical skewness of an asset's dollar return, existing theories on the pricing of skewness at both short- and long-horizon in stock markets are further tested.
