{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2014:AGOZCW4ZOTEEKUMAKRIZY2O6GS","merge_version":"pith-open-graph-merge-v1","event_count":2,"valid_event_count":2,"invalid_event_count":0,"equivocation_count":0,"current":{"canonical_record":{"metadata":{"abstract_canon_sha256":"0bde81ac32f4c263458046d2e646ac90e9bd695107706dca6e37235a3b9b3851","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.GN","submitted_at":"2014-09-26T20:44:06Z","title_canon_sha256":"d3a26836ca4934831ef8877c03b6c6d5d328ef029551e650d54c56f039c31309"},"schema_version":"1.0","source":{"id":"1409.7720","kind":"arxiv","version":3}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1409.7720","created_at":"2026-05-18T01:28:26Z"},{"alias_kind":"arxiv_version","alias_value":"1409.7720v3","created_at":"2026-05-18T01:28:26Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1409.7720","created_at":"2026-05-18T01:28:26Z"},{"alias_kind":"pith_short_12","alias_value":"AGOZCW4ZOTEE","created_at":"2026-05-18T12:28:19Z"},{"alias_kind":"pith_short_16","alias_value":"AGOZCW4ZOTEEKUMA","created_at":"2026-05-18T12:28:19Z"},{"alias_kind":"pith_short_8","alias_value":"AGOZCW4Z","created_at":"2026-05-18T12:28:19Z"}],"graph_snapshots":[{"event_id":"sha256:4a043eee6f9f573a1c49dbaa170da3e3375026e8b063193013947eba4c4ed0cc","target":"graph","created_at":"2026-05-18T01:28:26Z","signer":{"key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signer_id":"pith.science","signer_type":"pith_registry"},"payload":{"graph_snapshot":{"author_claims":{"count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","strong_count":0},"builder_version":"pith-number-builder-2026-05-17-v1","claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"paper":{"abstract_excerpt":"We present extensive evidence that ``risk premium'' is strongly correlated with tail-risk skewness but very little with volatility. We introduce a new, intuitive definition of skewness and elicit an approximately linear relation between the Sharpe ratio of various risk premium strategies (Equity, Fama-French, FX Carry, Short Vol, Bonds, Credit) and their negative skewness. We find a clear exception to this rule: trend following has both positive skewness and positive excess returns. This is also true, albeit less markedly, of the Fama-French ``Value'' factor and of the ``Low Volatility'' strat","authors_text":"C. Deremble, J. P. Bouchaud, M. Potters, P. Seager, T. T. Nguyen, Y. Lemp\\'eri\\`ere","cross_cats":[],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.GN","submitted_at":"2014-09-26T20:44:06Z","title":"Risk Premia: Asymmetric Tail Risks and Excess Returns"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1409.7720","kind":"arxiv","version":3},"verdict":{"created_at":null,"id":null,"model_set":{},"one_line_summary":"","pipeline_version":null,"pith_extraction_headline":"","strongest_claim":"","weakest_assumption":""}},"verdict_id":null}}],"author_attestations":[],"timestamp_anchors":[],"storage_attestations":[],"citation_signatures":[],"replication_records":[],"corrections":[],"mirror_hints":[],"record_created":{"event_id":"sha256:29874be406cbd8b1fa7b804b2e20b28bf810dfcb77dd5052360eb0257b052d57","target":"record","created_at":"2026-05-18T01:28:26Z","signer":{"key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signer_id":"pith.science","signer_type":"pith_registry"},"payload":{"attestation_state":"computed","canonical_record":{"metadata":{"abstract_canon_sha256":"0bde81ac32f4c263458046d2e646ac90e9bd695107706dca6e37235a3b9b3851","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.GN","submitted_at":"2014-09-26T20:44:06Z","title_canon_sha256":"d3a26836ca4934831ef8877c03b6c6d5d328ef029551e650d54c56f039c31309"},"schema_version":"1.0","source":{"id":"1409.7720","kind":"arxiv","version":3}},"canonical_sha256":"019d915b9974c845518054519c69de348dbef4bfa76f80327034bbeb18b4a5de","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"019d915b9974c845518054519c69de348dbef4bfa76f80327034bbeb18b4a5de","first_computed_at":"2026-05-18T01:28:26.050194Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-05-18T01:28:26.050194Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"QGZgrb9dfYGLZss+syGoZ5Og4SlmIQchq5RhHWmmfid6ckU6ZRDPlBrdVGQl3V+uErUrp6w3yfJ/fxS/fNwVDQ==","signature_status":"signed_v1","signed_at":"2026-05-18T01:28:26.050837Z","signed_message":"canonical_sha256_bytes"},"source_id":"1409.7720","source_kind":"arxiv","source_version":3}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:29874be406cbd8b1fa7b804b2e20b28bf810dfcb77dd5052360eb0257b052d57","sha256:4a043eee6f9f573a1c49dbaa170da3e3375026e8b063193013947eba4c4ed0cc"],"state_sha256":"d48f7389e97af6070b173d5b81ec58ad97182673709e0f9d18f6e78236c13319"}