Chabi-Yo, Fousseni - 2008 - This version : December 1, 2008
of coskewness and market volatility risk are
restricted by investor risk aversion and skewness preference. Consistent … flnd that nonzero risk aversion
and flrms’ non-systematic coskewness determine the premium on idiosyncratic volatility risk …. I show that the price of coskewness and market volatility risk are
restricted by investor risk aversion and skewness …