Skewness refers to the degree of asymmetry of a distribution, typically of investment returns. A distribution can be positively skewed (long tail to the right) or negatively skewed (long tail to the ...

There is strong evidence of a negative cross-sectional relationship between realized skewness and future stock returns - stocks with negative skewness are compensated with high future returns for ...

Intech Investment Management recently published a primer on monitoring market stress by way of several risk metrics, including skewness of returns (SoR). In the grand scheme of quantifying risk, SoR ...