In the presence of jump risk, expected stock return is a function of the average jump size, which can be proxied by the slope of option implied volatility smile. This implies a negative predictive relation between the slope of implied volatility smile and stock return, which is strongly...

There has been a long debate on the interpretation of idiosyncratic return variation. We inform this debate by examining the extent to which stock return synchronicity is associated with the post-earnings announcement drift (PEAD) in China. We find that firms with higher synchronicity exhibit...

We document two opposite effects of return skewness on momentum profits. For individual stocks, momentum profits decrease with skewness while for industry portfolios, momentum profits increase with skewness. The findings cannot be explained by existing risk factors and stock characteristics. For...

This paper investigates whether profitability skewness is related to expected stock return. We document significant evidence that profitability skewness positively predicts cross-sectional stock returns, opposite to the negative relation between return skewness and stock returns.The positive...