Skewness Sentiment and Market Anomalies

The authors are grateful for helpful comments and valuable suggestions from two anonymous referees, Constantinos Antoniou, Elias Badri, Turan Bali, Nick Baltas, Söhnke Bartram, Daniele Bianchi, Karl Diether, Jihoon Goh, Amit Goyal, Arie Gozluklu, Xiao Han, Jay Jung, Sonia Konstantinidi, Ingomar Krohn, Bart Lambrecht, Ashley Lester, Michael Moore, and Vikas Raman. The authors also thank participants at the 2018 Behavioural Finance Working Group Conference at Queen Mary University of London; the 2018 Financial Management Association European Conference; the 2018 Social Finance and Financial Technology Conference at Edinburgh Business School; the 26th Annual Conference of the Multinational Finance Society at Jerusalem School of Business Administration; the Centre for Economic Policy Research Third Annual Spring Symposium at Imperial College Business School; and seminars at Bayes Business School (formerly Cass), Cambridge Endowment for Research in Finance, Cambridge Judge Business School, Schroders Asset Management, and Warwick Business School. The authors are responsible for all remaining errors and omissions. Previous versions of the paper circulated under the title “Skewness Preference and Market Anomalies.”