Anghel, Dan; Caraiani, Petre; Rosu, Alina; Rosu, Ioanid - 2022
We reexamine the asset pricing performance of systematic skewness ("coskewness"), a risk factor in the three …-moment CAPM model of Kraus and Litzenberger (1976). In an influential paper, Harvey and Siddique (2000) test a coskewness factor … constructed by sorting stocks on past coskewness. We replicate and extend their paper. Overall, coskewness appears to be priced in …