The paper “The World Predictive Power of U.S. Equity Market Skewness Risk”, co-authored by Associate Professor Fuwei JIANG, was published in well-known international journal the “Journal of International Money and Finance”, Volume 96, 2019. The journal publishes research results in international finance and other related fields and is one of the top journals in the international financial field.
Abstract: This study investigates the cross-country impact of U.S. equity market skewness risk. We find that a large decrease in the U.S. market skewness significantly predicts high future returns on international equity markets. The predictability remains significant after controlling for a set of U.S. and local forecasting variables. Furthermore, we find strong predictability in an out-of-sample setting and the predictability delivers a large economic value. The U.S. market skewness also forecasts U.S. economic recessions and international market conditions, consistent with the international three-moment capital asset pricing model (three-moment CAPM) and intertemporal capital asset pricing model (ICAPM).
Keywords: Return Predictability, International Stock Markets, Skewness, Market Crash