期刊论文

Difang Huang

英文

Journal of Empirical Finance

0927-5398

2025

101642

10.1016/j.jempfin.2025.101642

CRediT authorship contribution statement Deshui Yu: Writing – review & editing, Writing – original draft, Visualization, Validation, Supervision, Software, Resources, Project administration, Methodology, Investigation, acquisition, Formal analysis, Data curation, Conceptualization. Difang Huang: Writing – review & editing, Writing – original draft, Visualization, Validation, Supervision, Software, Resources, Project administration, Methodology, Investigation, acquisition, Formal analysis, Data curation,

本校为其他机构

This article examines the time-series predictive ability of the monthly option-implied idiosyncratic skewness ( S k e w ) for the aggregate stock market. We find that S k e w is a strong predictor of the U.S. equity premium using both in-sample and out-of-sample tests at forecast horizons up to 36 months over the period from January 1996 to December 2021. In comparison, S k e w outperforms the previously used financial and macroeconomic variables. Furthermore, combing information in the transitional predictors with S k e w can further improve t...