Predicted Systematic and Idiosyncratic Skewness: New Evidence from Pricing the Third Moment of Stock Return Distribution
Lottery preferences cause investors’ tendency toward high skewed (third moment of return distribution) stocks. Such preferences differ based on various market conditions. In this study, using predicted systematic and idiosyncratic skewness ranks, pricing of the third moment of stock return distribut...
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
| Published: |
University of Isfahan
2021-12-01
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| Series: | Journal of Asset Management and Financing |
| Subjects: | |
| Online Access: | https://amf.ui.ac.ir/article_26532_fa9893fd91f56306e7846f93891c1306.pdf |