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

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.

Automated summary

Jondeau et al. (2020) find that average stock return skewness can predict stock market returns. However, we are unable to replicate this result in a broad sample of stock returns from the well-developed euro area stock markets. Accounting for potential slower information dissemination or using alternative skewness estimators does not lead to finding predictability.