Akram, Q.F. ; Rime, D. ; Sarno, L. Arbitrage in the foreign exchange market: Turning on the microscope. 2008 Journal of International Economics. 76 237-253
Amaya, D. ; Christoffersen, P. ; Jacobs, K. Does realized skewness predict the cross-section of equity returns?. 2015 Journal of Financial Economics. 118 135-167
Ammann, M. ; Buesser, R. Variance risk premiums in foreign exchange markets. 2013 Journal of Empirical Finance. 23 16-32
Andersen, T.G. ; Bollerslev, T. ; Diebold, F.X. The distribution of realized stock return volatility. 2001 Journal of Financial Economics. 61 43-76
Ang, A. ; Hodrick, R.J. ; Xing, Y. ; Zhang, X. The cross-section of volatility and expected returns. 2006 The Journal of Finance. 61 259-299
- Bai J, Bali T, Wen Q. Do the distributional characteristics of corporate bonds predict their future returns?[J]. 2016. Georgetown McDonough School of Business Research Paper No. 2548562. SSRN: https://ssrn.com/abstract=2548562 or https://doi.org/10.2139/ssrn.2548562.
Paper not yet in RePEc: Add citation now
Baillie, R.T. ; Chang, S.S. Carry trades, momentum trading and the forward premium anomaly. 2011 Journal of Financial Markets. 14 441-464
Bali, T.G. ; Cakici, N. ; Whitelaw, R.F. Maxing out: Stocks as lotteries and the cross-section of expected returns. 2011 Journal of Financial Economics. 99 427-446
Bali, T.G. ; Murray, S. Does risk-neutral skewness predict the cross-section of equity option portfolio returns?. 2013 Journal of Financial and Quantitative Analysis. 48 1145-1171
Banti, C. ; Phylaktis, K. ; Sarno, L. Global liquidity risk in the foreign exchange market. 2012 Journal of International Money and Finance. 31 267-291
Barberis, N. ; Huang, M. Stocks as lotteries: The implications of probability weighting for security prices. 2008 American Economic Review. 98 2066-2100
Bessembinder, H. ; Lemmon, M.L. Equilibrium pricing and optimal hedging in electricity forward markets. 2002 The Journal of Finance. 57 1347-1382
Bianconi, M. ; Cai, Z. Higher moment exchange rate exposure of S&P500 firms. 2017 The North American Journal of Economics and Finance. 42 513-530
Brunnermeier, M.K. ; Nagel, S. ; Pedersen, L.H. Carry trades and currency crashes. 2008 NBER Macroeconomics Annual. 23 313-348
Byun, S.J. ; Kim, D.H. Gambling preference and individual equity option returns. 2016 Journal of Financial Economics. 122 155-174
Calvet, L.E. ; Campbell, J.Y. ; Sodini, P. Down or out: Assessing the welfare costs of household investment mistakes. 2007 Journal of Political Economy. 115 707-747
Carhart, M.M. On persistence in mutual fund performance. 1997 The Journal of Finance. 52 57-82
Cenedese, G. ; Sarno, L. ; Tsiakas, I. Foreign exchange risk and the predictability of carry trade returns. 2014 Journal of Banking & Finance. 42 302-313
Chen, C. ; Lee, H.C. ; Liao, T.H. Risk-neutral skewness and market returns: The role of institutional investor sentiment in the futures market. 2016 The North American Journal of Economics and Finance. 35 203-225
Chen, Y. Understanding exchange rate behaviour. 2014 International Finance. 17 257-271
Cochrane, J.H. Financial markets and the real economy. 2005 Foundations and Trends® in Finance. 1 1-101
Conrad, J. ; Dittmar, R.F. ; Ghysels, E. Ex ante skewness and expected stock returns. 2013 The Journal of Finance. 68 85-124
Cremers, M. ; Weinbaum, D. Deviations from put-call parity and stock return predictability. 2010 Journal of Financial and Quantitative Analysis. 45 335-367
Della Corte, P. ; Ramadorai, T. ; Sarno, L. Volatility risk premia and exchange rate predictability. 2016 Journal of Financial Economics. 120 21-40
- Della Corte, P. ; Sarno, L. ; Tsiakas, I. An economic evaluation of empirical exchange rate models. 2008 The Review of Financial Studies. 22 3491-3530
Paper not yet in RePEc: Add citation now
Dupuy, P. The tail risk premia of the carry trades. 2015 Journal of International Money and Finance. 59 123-145
Eraker, B. ; Ready, M. Do investors overpay for stocks with lottery-like payoffs? An examination of the returns of OTC stocks. 2015 Journal of Financial Economics. 115 486-504
Fama, E.F. ; French, K.R. A five-factor asset pricing model. 2015 Journal of Financial Economics. 116 1-22
Fama, E.F. ; French, K.R. Common risk factors in the returns on stocks and bonds. 1993 Journal of Financial Economics. 33 3-56
Fama, E.F. ; French, K.R. The cross-section of expected stock returns. 1992 The Journal of Finance. 47 427-465
Fama, E.F. ; MacBeth, J.D. Risk, return, and equilibrium: Empirical tests. 1973 Journal of Political Economy. 81 607-636
Fernandez-Perez, A. ; Frijns, B. ; Fuertes, A.M. The skewness of commodity futures returns. 2018 Journal of Banking & Finance. 86 143-158
- Feunou, B. ; Jahan-Parvar, M.R. ; Okou, C. Downside variance risk premium. 2017 Journal of Financial Econometrics. 16 341-383
Paper not yet in RePEc: Add citation now
Goyal, A. ; Santa-Clara, P. Idiosyncratic risk matters!. 2003 The Journal of Finance. 58 975-1007
Ilzetzki, E. ; Reinhart, C.M. ; Rogoff, K.S. Exchange arrangements entering the 21st century: Which anchor will hold?. Working paper. 2017 National Bureau of Economic Research. -
Jegadeesh, N. ; Titman, S. Returns to buying winners and selling losers: Implications for stock market efficiency. 1993 The Journal of Finance. 48 65-91
Jiang, C. ; Ma, Y. ; An, Y. Portfolio selection with a systematic skewness constraint. 2016 The North American Journal of Economics and Finance. 37 393-405
Kim, T.H. ; White, H. On more robust estimation of skewness and kurtosis. 2004 Finance Research Letters. 1 56-73
Koutmos, G. ; Martin, A.D. Currency bid-ask spread dynamics and the Asian crisis: Evidence across currency regimes. 2011 Journal of International Money and Finance. 30 62-73
Lettau, M. ; Maggiori, M. ; Weber, M. Conditional risk premia in currency markets and other asset classes. 2014 Journal of Financial Economics. 114 197-225
Levy-Yeyati, E. ; Sturzenegger, F. Classifying exchange rate regimes: Deeds vs. words. 2005 European Economic Review. 49 1603-1635
Lustig, H. ; Roussanov, N. ; Verdelhan, A. Common risk factors in currency markets. 2011 The Review of Financial Studies. 24 3731-3777
Lustig, H. ; Verdelhan, A. The cross section of foreign currency risk premia and consumption growth risk. 2007 American Economic Review. 97 89-117
Mancini, L. ; Ranaldo, A. ; Wrampelmeyer, J. Liquidity in the foreign exchange market: Measurement, commonality, and risk premiums. 2013 The Journal of Finance. 68 1805-1841
Menkhoff, L. ; Sarno, L. ; Schmeling, M. Carry trades and global foreign exchange volatility. 2012 The Journal of Finance. 67 681-718
Menkhoff, L. ; Sarno, L. ; Schmeling, M. Currency momentum strategies. 2012 Journal of Financial Economics. 106 660-684
Mitton, T. ; Vorkink, K. Equilibrium underdiversification and the preference for skewness. 2007 The Review of Financial Studies. 20 1255-1288
- Neuberger, A. Realized skewness. 2012 The Review of Financial Studies. 25 3423-3455
Paper not yet in RePEc: Add citation now
Orlov, V. Currency momentum, carry trade, and market illiquidity. 2016 Journal of Banking & Finance. 67 1-11
Reinhart, C.M. ; Rogoff, K.S. The modern history of exchange rate arrangements: A reinterpretation. 2004 The Quarterly Journal of Economics. 119 1-48
Schneider, C. ; Spalt, O. Conglomerate investment, skewness, and the CEO long-shot bias. 2016 The Journal of Finance. 71 635-672
Xing, Y. ; Zhang, X. ; Zhao, R. What does the individual option volatility smirk tell us about future equity returns?. 2010 Journal of Financial and Quantitative Analysis. 45 641-662
Yang, F. Investment shocks and the commodity basis spread. 2013 Journal of Financial Economics. 110 164-184
- Zhang, Y. Individual skewness and the cross-section of average stock returns. 2005 Yale University, Working paper:
Paper not yet in RePEc: Add citation now