Investor sentiment and skewness risk premium

References

• Adcock, C., M. Eling, and N. Loperfido. 2015. “Skewed Distributions in Finance and Actuarial Science: A Review.” European Journal of Finance 21 (13–14): 1253–1281. doi:10.1080/1351847X.2012.720269.
   Web of Science ®Google Scholar
• Ang, A., R. Hodrick, Y. Xing, and X. Zhang. 2006. “The Cross-Section of Volatility and Expected Returns.” The Journal of Finance 61 (1): 259–299. doi:10.1111/j.1540-6261.2006.00836.x.
   Web of Science ®Google Scholar
• Antoniou, C., J. Doukas, and A. Subrahmanyam. 2013. “Cognitive Dissonance, Sentiment and Momentum.” The Journal of Financial & Quantitative Analysis 48 (1): 245–275. doi:10.1017/S0022109012000592.
   Web of Science ®Google Scholar
• Antoniou, C., J. Doukas, and A. Subrahmanyam. 2016. “Investor Sentiment, Beta and the Cost of Equity Capital.” Management Science 62 (2): 347–367. doi:10.1287/mnsc.2014.2101.
   Web of Science ®Google Scholar
• Baker, M., and J. Stein. 2004. “Market Liquidity as a Sentiment Indicator.” Journal of Financial Markets 7 (3): 271–299. doi:10.1016/j.finmar.2003.11.005.
   Web of Science ®Google Scholar
• Baker, M., and J. Wurgler. 2006. “Investor Sentiment and the Cross-Section of Stock Returns.” The Journal of Finance 61 (4): 1645–1680. doi:10.1111/j.1540-6261.2006.00885.x.
   Web of Science ®Google Scholar
• Baker, M., and J. Wurgler. 2007. “Investor Sentiment in the Stock Market.” Journal of Economic Perspectives 21 (2): 129–151. doi:10.1257/jep.21.2.129.
   Web of Science ®Google Scholar
• Bakshi, G., N. Kapadia, and D. Madan. 2003. “Stock Return Characteristics Skew Laws, and the Differential Pricing of Individual Equity Options.” The Review of Financial Studies 16 (1): 101–143. doi:10.1093/rfs/16.1.0101.
   Web of Science ®Google Scholar
• Bakshi, G., and D. Madan. 2000. “Spanning and Derivative-Security Valuation.” Journal of Financial Economics 55 (2): 205–238. doi:10.1016/S0304-405X(99)00050-1.
   Web of Science ®Google Scholar
• Bali, T. G., J. Hu, and S. Murray. 2019. Option Implied Volatility, Skewness, and Kurtosis and the Cross-Section of Expected Stock Returns. Georgetown McDonough School of Business Research Paper.
   Google Scholar
• Bali, T. G., and S. Murray. 2013. “Does Risk-Neutral Skewness Predict the Cross Section of Equity Option Portfolio Returns?” The Journal of Financial & Quantitative Analysis 48 (4): 1145–1171. doi:10.1017/S0022109013000410.
   Web of Science ®Google Scholar
• Bates, D. S. 2000. “Post-’87 Crash Fears in the S&P 500 Futures Option Market.” Journal of Econometrics 94 (1–2): 181–238. doi:10.1016/S0304-4076(99)00021-4.
   Web of Science ®Google Scholar
• Bathia, D., and D. Bredin. 2018. “Investor Sentiment: Does It Augment the Performance of Asset Pricing Models?” International Review of Financial Analysis 59: 290–303. doi:10.1016/j.irfa.2018.03.014.
   Web of Science ®Google Scholar
• Bekiros, S., M. Jlassi, B. Lucey, K. Naoui, and G. S. Uddin. 2017. “Herding Behavior, Market Sentiment and Volatility: Will the Bubble Resume?” The North American Journal of Economics & Finance 42: 107–131. doi:10.1016/j.najef.2017.07.005.
   Web of Science ®Google Scholar
• Brown, G., and M. Cliff. 2004. “Investor Sentiment and the Near-Term Stock Market.” Journal of Empirical Finance 11 (1): 1–27. doi:10.1016/j.jempfin.2002.12.001.
   Google Scholar
• Brown, G., and M. Cliff. 2005. “Investor Sentiment and Asset Valuation.” The Journal of Business 78 (2): 405–440. doi:10.1086/427633.
   Web of Science ®Google Scholar
• Carhart, M. 1997. “On Persistence in Mutual Fund Performance.” The Journal of Finance 52 (1): 57–82. doi:10.1111/j.1540-6261.1997.tb03808.x.
   Web of Science ®Google Scholar
• Carr, P., and D. Madan. 2001. “Optimal Positioning in Derivative Securities.” Quantitative Finance 1 (1): 19–37. doi:10.1080/713665549.
   Google Scholar
• Chabi-Yo, F. 2008. “Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence.” The Review of Financial Studies 21 (1): 181–231. doi:10.1093/rfs/hhm053.
   Web of Science ®Google Scholar
• Chabi-Yo, F. 2012. “Pricing Kernels with Co-Skewness and Volatility Risk.” Management Science 58 (3): 624–640. doi:10.1287/mnsc.1110.1424.
   Web of Science ®Google Scholar
• Chang, B. Y., P. Christoffersen, and K. Jacobs. 2013. “Market Skewness Risk and the Cross Section of Stock Returns.” Journal of Financial Economics 107 (1): 46–68. doi:10.1016/j.jfineco.2012.07.002.
   Web of Science ®Google Scholar
• Chen, J. 2003. Intertemporal CAPM and the Cross-Section of Stock Returns. Working Paper, University of Southern California.
   Google Scholar
• Chow, G. C. 1960. “Tests of Equality Between Sets of Coefficients in Two Linear Regressions.” Econometrica: Journal of the Econometric Society 28 (3): 591–605. doi:10.2307/1910133.
   Web of Science ®Google Scholar
• Conrad, J., R. F. Dittmar, and E. Ghysels. 2013. “Ex Ante Skewness and Expected Stock Returns.” The Journal of Finance 68 (1): 85–124. doi:10.1111/j.1540-6261.2012.01795.x.
   Web of Science ®Google Scholar
• Dittmar, R. F. 2002. “Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns.” The Journal of Finance 57 (1): 369–403. doi:10.1111/1540-6261.00425.
   Web of Science ®Google Scholar
• Doran, J. S., D. R. Peterson, and B. C. Tarrant. 2007. “Is There Information in the Volatility Skew?” Journal of Futures Markets 27 (10): 921–959. doi:10.1002/fut.20279.
   Web of Science ®Google Scholar
• Duchin, R., O. Ozbas, and B. A. Sensoy. 2010. “Costly External Finance, Corporate Investment, and the Subprime Mortgage Credit Crisis.” Journal of Financial Economics 97 (3): 418–435. doi:10.1016/j.jfineco.2009.12.008.
   Web of Science ®Google Scholar
• Fama, E. F., and K. French. 1993. “Common Risk Factors in the Returns on Stocks and Bonds.” Journal of Financial Economics 33 (1): 3–56. doi:10.1016/0304-405X(93)90023-5.
   Web of Science ®Google Scholar
• Fama, E. F., and K. French. 1996. “Multifactor Explanations of Asset Pricing Anomalies.” The Journal of Finance 51 (1): 55–84.
   Web of Science ®Google Scholar
• Fama, E. F., and K. French. 1998. “Value versus Growth: The International Evidence.” The Journal of Finance 53 (6): 1975–1999.
   Web of Science ®Google Scholar
• Fama, E. F., and K. French. 2018. “Choosing Factors.” Journal of Financial Economics 128 (2): 234–252. doi:10.1016/j.jfineco.2018.02.012.
   Web of Science ®Google Scholar
• Fisher, K. L., and M. Statman. 2003. “Consumer Confidence and Stock Returns.” The Journal of Portfolio Management 30 (1): 115–127. doi:10.3905/jpm.2003.319925.
   Web of Science ®Google Scholar
• Friend, I., and R. Westerfield. 1980. “Co-Skewness and Capital Asset Pricing.” The Journal of Finance 35 (4): 897–913. doi:10.1111/j.1540-6261.1980.tb03508.x.
   Web of Science ®Google Scholar
• Gao, X., J. Yu, and Y. Yuan 2012. Investor Sentiment and Idiosyncratic Volatility Puzzle. Working Paper, University of Pennsylvania.
   Google Scholar
• Garcia-Appendini, E., and J. Montoriol-Garriga. 2013. “Firms as Liquidity Providers: Evidence from the 2007–2008 Financial Crisis.” Journal of Financial Economics 109 (1): 272–291. doi:10.1016/j.jfineco.2013.02.010.
   Web of Science ®Google Scholar
• Harvey, C. R., and A. Siddique. 2000. “Conditional Skewness in Asset Pricing Tests.” The Journal of Finance 55 (3): 1263–1295. doi:10.1111/0022-1082.00247.
   Web of Science ®Google Scholar
• Ho, C., and C. H. Hung. 2009. “Investor Sentiment as Conditioning Information in Asset Pricing.” Journal of Banking & Finance 33 (5): 892–903. doi:10.1016/j.jbankfin.2008.10.004.
   Web of Science ®Google Scholar
• Hou, K., H. Mo, C. Xue, and L. Zhang. 2019. “Which Factors?” Review of Finance 23 (1): 1–35. doi:10.1093/rof/rfy032.
   Web of Science ®Google Scholar
• Huang, D., F. Tu, J. Jiang, and G. Zhou. 2015. “Investor Sentiment Aligned: A Powerful Predictor of Stock Returns.” The Review of Financial Studies 28 (3): 791–837. doi:10.1093/rfs/hhu080.
   Web of Science ®Google Scholar
• Hwang, S., and S. E. Satchell. 1999. “Modelling Emerging Market Risk Premia Using Higher Moments.” International Journal of Finance & Economics 4 (4): 271–296. doi:10.1002/(SICI)1099-1158(199910)4:4<271:AID-IJFE110>3.0.CO;2-M.
   Web of Science ®Google Scholar
• Ince, O. S., and R. B. Porter. 2006. “Individual Equity Return Data from Thomson Datastream: Handle with Care!.” Journal of Financial Research 29 (4): 463–479.
   Google Scholar
• Jiang, L., K. Wu, G. Zhou, and Y. Zhu. 2020. “Stock Return Asymmetry: Beyond Skewness.” The Journal of Financial and Quantitative Analysis 55 (2): 357–386.
   Web of Science ®Google Scholar
• Kapadia, N. 2006. The Next Microsoft? Skewness, Idiosyncratic Volatility, and Expected Returns. Unpublished working paper. Rice University, Houston, TX.
   Google Scholar
• Kozhan, R., A. Neuberger, and P. Schneider. 2013. “The Skew Risk Premium in the Equity Index Market.” The Review of Financial Studies 26 (9): 2174–2203. doi:10.1093/rfs/hht039.
   Web of Science ®Google Scholar
• Kraus, A., and R. H. Litzenberger. 1976. “Skewness Preference and the Valuation of Risk Assets.” The Journal of Finance 31 (4): 1085–1100. doi:10.1111/j.1540-6261.1976.tb01961.x.
   Web of Science ®Google Scholar
• Labidi, C., and S. Yaakoubi. 2016. “Investor Sentiment and Aggregate Volatility Pricing.” The Quarterly Review of Economics & Finance 61: 53–63. doi:10.1016/j.qref.2015.11.005.
   Google Scholar
• Langlois, H. 2020. “Measuring Skewness Premia.” Journal of Financial Economics 135 (2): 399–424. doi:10.1016/j.jfineco.2019.06.002.
   Web of Science ®Google Scholar
• Lim, K. G. 1989. “A New Test of the Three-Moment Capital Asset Pricing Model.” The Journal of Financial & Quantitative Analysis 24 (2): 205–216. doi:10.2307/2330772.
   Web of Science ®Google Scholar
• Lin, H. N., S. M. Chiang, and K. H. Chen. 2008. “The Dynamic Relationships Between Gold Futures Markets: Evidence from COMEX and TOCOM.” Applied Financial Economics Letters 4 (1): 19–24. doi:10.1080/17446540701262868.
   Google Scholar
• Lin, Y., T. Lehnert, and C. Wolff. 2019. “Skewness Risk Premium: Theory and Empirical Evidence.” International Review of Financial Analysis 63: 174–185. doi:10.1016/j.irfa.2019.04.002.
   Web of Science ®Google Scholar
• Merton, R. C. 1973. “An Intertemporal Asset Pricing Model.” Econometrica 41 (5): 867–887. doi:10.2307/1913811.
   Web of Science ®Google Scholar
• Merton, R. C. 1980. “On Estimating the Expected Return on the Market: An Exploratory Investigation.” Journal of Financial Economics 8 (4): 323–361. doi:10.1016/0304-405X(80)90007-0.
   Web of Science ®Google Scholar
• Miller, E. M. 1977. “Risk, Uncertainty and Divergence of Opinion.” The Journal of Finance 32 (4): 1151–1168. doi:10.1111/j.1540-6261.1977.tb03317.x.
   Web of Science ®Google Scholar
• Newey, W., and K. West. 1987. “A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix.” Econometrica 55 (3): 703–708. doi:10.2307/1913610.
   Web of Science ®Google Scholar
• Pan, J. 2002. “The Jump-Risk Premia Implicit in Options: Evidence from an Integrated Time Series Study.” Journal of Financial Economics 63 (1): 3–50. doi:10.1016/S0304-405X(01)00088-5.
   Web of Science ®Google Scholar
• Philippas, N., F. Economou, V. Babalos, and A. Kostakis. 2013. “Herding Behavior in REITs: Novel Tests and the Role of Financial Crisis.” International Review of Financial Analysis 29: 166–174. doi:10.1016/j.irfa.2013.01.004.
   Web of Science ®Google Scholar
• Rubinstein, M. 1973. “The Fundamental Theorem of Parameter-Preference Security Valuation.” The Journal of Financial & Quantitative Analysis 8 (1): 61–69. doi:10.2307/2329748.
   Web of Science ®Google Scholar
• Sears, R. S., and K. C. J. Wei. 1988. The structure of skewness preferences in asset pricing models with higher moments: An empirical test. Financial Review 23 (1): 25–38.
   Google Scholar
• Shen, J., J. Yu, and S. Zhao. 2017. “Investor Sentiment and Economic Forces.” Journal of Monetary Economics 86: 1–21. doi:10.1016/j.jmoneco.2017.01.001.
   Web of Science ®Google Scholar
• Smith, D. R. 2007. “Conditional Coskewness and Asset Pricing.” Journal of Empirical Finance 14 (1): 91–119. doi:10.1016/j.jempfin.2006.04.004.
   Google Scholar
• Stambaugh, R. F., J. Yu, and Y. Yuan. 2012. “The Short of It: Investor Sentiment and Anomalies.” Journal of Financial Economics 104 (2): 288–302. doi:10.1016/j.jfineco.2011.12.001.
   Web of Science ®Google Scholar
• Stambaugh, R. F., J. Yu, and Y. Yuan. 2014. “The Long of It: Odds That Investor Sentiment Spuriously Predicts Anomaly Returns.” Journal of Financial Economics 114 (3): 613–619. doi:10.1016/j.jfineco.2014.07.008.
   Web of Science ®Google Scholar
• Stambaugh, R. F., J. Yu, and Y. Yuan. 2015. “Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle.” The Journal of Finance 70 (5): 1903–1948. doi:10.1111/jofi.12286.
   Web of Science ®Google Scholar
• Stilger, P. S., A. Kostakis, and S. H. Poon. 2017. “What Does Risk-Neutral Skewness Tell Us About Future Stock Returns?” Management Science 63 (6): 1814–1834. doi:10.1287/mnsc.2015.2379.
   Web of Science ®Google Scholar
• Waggle, D., and P. Aggrawal. 2015. “Investor Sentiment and Short-Term Returns for Size-Adjusted Value and Growth Portfolios.” Journal of Behavioral Finance 16 (1): 81–93. doi:10.1080/15427560.2015.1000329.
   Web of Science ®Google Scholar
• Wang, G. J., C. Xie, Z. Q. Jiang, and H. E. Stanley. 2016. “Extreme Risk Spillover Effects in World Gold Markets and the Global Financial Crisis.” International Review of Economics & Finance 46: 55–77. doi:10.1016/j.iref.2016.08.004.
   Web of Science ®Google Scholar
• Xing, Y., X. Zhang, and R. Zhao. 2010. “What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns?” The Journal of Financial & Quantitative Analysis 45 (3): 641–662. doi:10.1017/S0022109010000220.
   Web of Science ®Google Scholar
• Yaakoubi, S. 2022. “Investor Sentiment and Market-Wide Liquidity Pricing.” Journal of Behavioral Finance 1–15. doi:10.1080/15427560.2022.2100379.
   Web of Science ®Google Scholar
• Yu, J., and Y. Yuan. 2011. “Investor Sentiment and the Mean–Variance Relation.” Journal of Financial Economics 100 (2): 367–381. doi:10.1016/j.jfineco.2010.10.011.
   Web of Science ®Google Scholar
• Zhu, H. M., R. Li, and S. Li. 2014. “Modelling Dynamic Dependence Between Crude Oil Prices and Asia-Pacific Stock Market Returns.” International Review of Economics & Finance 29: 208–223. doi:10.1016/j.iref.2013.05.015.
   Web of Science ®Google Scholar