G14 - Information and Market Efficiency; Event Studies

• Idiosyncratic Coskewness and Equity Return Anomalies

  Staff Working Paper 2010-11 Fousseni Chabi-Yo, Jun Yang

  In this paper, we show that in a model where investors have heterogeneous preferences, the expected return of risky assets depends on the idiosyncratic coskewness beta, which measures the co-movement of the individual stock variance and the market return.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Economic models, Financial markets JEL Code(s): G, G1, G11, G12, G14, G3, G33