Lehnert, Thorsten; Lin, Yuehao; Wolff, Christian C - C.E.P.R. Discussion Papers - 2013
that the aggregated excess market returns can be predicted by the skewness risk premium, which is constructed to be the … difference between the physical and the risk-neutral skewness. In an empirical application of the model using more than 20 years … holding stocks when the market skewness risk premium is high. However, when we characterize periods of high and low risk …