Default risk, macroeconomic conditions, and the market skewness risk premium
(2022)
Journal Article
Xu, Z., Li, X., Chevapatrakul, T., & Gao, N. (2022). Default risk, macroeconomic conditions, and the market skewness risk premium. Journal of International Money and Finance, -. https://doi.org/10.1016/j.jimonfin.2022.102683
Previous literature finds that stocks with low market skewness risk outperform stocks with high market skewness risk. Using the portfolio sort approach, we show that this market skewness risk premium is much more pronounced among stocks with low defa... Read More about Default risk, macroeconomic conditions, and the market skewness risk premium.