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dc.contributor.authorChabi-Yo, Foussenien_US
dc.contributor.authorYang, Junen_US
dc.date.accessioned2010-07-07en_US
dc.date.accessioned2011-12-15T12:56:02Z-
dc.date.available2011-12-15T12:56:02Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/53800-
dc.description.abstractIn 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. We find that there is a negative (positive) relation between idiosyncratic coskewness and equity returns when idiosyncratic coskewness betas are positive (negative). Standard risk factors, such as the market, size, book-to-market, and momentum cannot explain the findings. We construct two idiosyncratic coskewness factors to capture the market-wide effect of idiosyncratic coskewness. The two idiosyncratic coskewness factors can also explain the negative and significant relation between the maximum daily return over the past one month (MAX) and expected stock returns documented in Bali, Cakici, and Whitelaw (2009). In addition, when we control for these two idiosyncratic coskewness factors, the return difference for distress-sorted portfolios found in Campbell, Hilscher, and Szilagyi (2008) becomes insignificant. Furthermore, the two idiosyncratic coskewness factors help us understand the idiosyncratic volatility puzzle found in Ang, Hodrick, Xing, and Zhang (2006). They reduce the return difference between portfolios with the smallest and largest idiosyncratic volatility by more than 60%, although the difference is still statistically significant.en_US
dc.language.isoengen_US
dc.publisherBank of Canada Ottawaen_US
dc.relation.ispartofseriesBank of Canada Working Paper 2010,11en_US
dc.subject.jelG11en_US
dc.subject.jelG12en_US
dc.subject.jelG14en_US
dc.subject.jelG33en_US
dc.subject.ddc330en_US
dc.subject.keywordEconomic modelsen_US
dc.subject.keywordfinancial marketsen_US
dc.subject.stwFinanzmarkten_US
dc.subject.stwKapitalanlageen_US
dc.subject.stwOffenbarte Präferenzenen_US
dc.subject.stwKapitalertragen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwTheorieen_US
dc.titleIdiosyncratic coskewness and equity return anomaliesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn630739609en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
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