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.

中文翻译：

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平均偏度真的能预测财务回报吗？欧元区案例

琼多等人。(2020) 发现平均股票回报偏度预测股市回报的证据。尽管这一证据与资产定价理论一致，但我们无法在从发达的欧元区股票市场获取的广泛股票回报样本中复制这一结果。考虑到潜在的信息传播速度较慢或使用两个替代的偏度估计器也不会导致发现可预测性。