Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 20, 2022 erstellt
Description:
Much attention is paid to portfolio variance, but skewness is also important for both portfolio design and asset pricing. We revisit the empirical research on systematic skewness that we initiated 25 years ago. In an out-of-sample test, we find that the risk premium associated with skewness is similar to the one reported in our original paper