Can average skewness really predict financial returns? The euro area case

Abstract

Jondeau et al. (2020) find evidence that average stock return skewness predicts stock market returns. Although this evidence is consistent with asset pricing theory, we are not able to replicate this result on a broad sample of stock returns taken from the well-developed euro area stock markets. Nor does accounting for potential slower information dissemination or using two alternative skewness estimators lead to finding predictability.