The pricing of skewness: Evidence from the Johannesburg Stock Exchange

False Discoveries in the Anomaly Research: New Insights from the Stock Exchange of Melbourne (1927-1987)

“…The differential return is positive, and the high-COSKEW portfolio outperforms the low-COSKEW portfolio by 0.48% (t-stat = 3.03) per month. These findings contradict the evidence of Harvey and Siddique (2000), who argue that co-skewness negatively predicts expected returns, though it matches evidence from certain emerging markets (see, e.g., Steyn and Theart, 2021). Moreover, the co-skewness results are not unique as previous studies have found opposite signs in the Fama and French factors as well.…”