Cross-sectional dispersion in firm-level realized skewness negatively predicts future aggregate stock market returns and is strongest in months with monetary policy news.
Title resolution pending
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
q-fin.GN 1years
2026 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
Skewness Dispersion and Stock Market Returns
Cross-sectional dispersion in firm-level realized skewness negatively predicts future aggregate stock market returns and is strongest in months with monetary policy news.