Conditional Skewness in Asset Pricing: 25 Years of Out-of-Sample Evidence

Much attention is paid to portfolio variance, but skewness is also important for both portfolio design and asset pricing. We revisit the empirical research on systematic skewness that we initiated 25 years ago. We analyze the out-of-sample evidence for the skewness risk premium presented in the literature including the recent work of Anghel et al. (2023). We also conduct an out-of-sample test and focus on the sensitivity of the risk premium estimate to different research choices. Overall, we find that the risk premium associated with systematic skewness is similar to the one reported in our original paper.