Idiosyncratic skewness (3F model)
⚠ weakenedReturnSkew3FRisk· Price data
Skewness of idiosyncratic returns computed as residuals from regression of daily excess returns (ret - rf) on Fama-French factors (mktrf, smb, hml) over the previous month. We require at least 15 non-missing observations.
IS Sharpe (1926–2014)
0.755
+4.5% p.a.
OOS Sharpe (2015–2024)
0.394
+2.4% p.a.
Sharpe decay
+47.8%
(IS − OOS) / |IS|
IS vol
6.0%
annualized
Cumulative return (last 40 years, monthly)
+50%1984-012024-12
Publication details
AuthorsBali, Engle and Murray
PaperBali, Engle and Murray (2015)
JournalBook
Publication year2015
Original sample1963–2012
IS T-statistic4.35
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