Critical Finance Review > Vol 12 > Issue 1-4

Conditional Skewness in Asset Pricing: 25 Years of Out-of-Sample Evidence

Campbell R. Harvey, Duke University and National Bureau of Economic Research, USA, , Akhtar Siddique, Office of the Comptroller of the Currency, USA,
Suggested Citation
Campbell R. Harvey and Akhtar Siddique (2023), "Conditional Skewness in Asset Pricing: 25 Years of Out-of-Sample Evidence", Critical Finance Review: Vol. 12: No. 1-4, pp 355-366.

Publication Date: 08 Aug 2023
© 2023 Campbell R. Harvey and Akhtar Siddique
Risk premiumDownside riskInsuranceRisk aversionPortfolio optimizationDownside beta


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In this article:
1. Introduction 
2. Replications 
3. Sensitivity to Research Choices 
4. Conclusions 


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. We analyze the out-of-sample evidence for the skewness risk premium presented in the literature including the recent work of Anghel et al. (2023). We also conduct an out-of-sample test and focus on the sensitivity of the risk premium estimate to different research choices. Overall, we find that the risk premium associated with systematic skewness is similar to the one reported in our original paper.



Critical Finance Review, Volume 12, Issue 1-4 Special Issue: Volatility and Higher Moments: Articles Overview
See the other articles that are part of this special issue.