Statistics

Computer security

Portfolio

Economics

Computer science

Asset (computer security)

Market liquidity

Asset allocation

Skewness

Mathematics

Geography

Monetary economics

Econometrics

Financial economics

Journal of Financial Economics

Average skewness, which is the average of monthly skewness values across firms, performs well at predicting future market returns. This prediction still holds after controlling for the size or liquidity of the firms or for current business cycle conditions. Also, average skewness compares favorably with other economic and financial predictors of subsequent market returns. The asset allocation exercise based on predictive regressions also shows that average skewness generates superior performance.

Average skewness matters