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 … skewness (PSS) of Langlois (2020), where coskewness is predicted by various firm characteristics, or (ii) a modified PSS factor …