@article{10.1093/rfs/hhw009, author = {Ghysels, Eric and Meng, Jinghan and Colacito, Riccardo and Siwasarit, Wasin}, title = "{Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory}", journal = {The Review of Financial Studies}, volume = {29}, number = {8}, pages = {2069-2109}, year = {2016}, month = {02}, abstract = "{We document that the first and third cross-sectional moments of the distribution of GDP growth rates made by professional forecasters can predict equity excess returns, a finding that is robust to controlling for a large set of well-established predictive factors. We show that introducing time-varying skewness in the distribution of expected growth prospects in an otherwise standard endowment economy can substantially increase the model-implied equity Sharpe ratios, and produce a large amount of fluctuation in equity risk premiums.Received May 6, 2013; accepted January 26, 2016 by Editor Geert Bekaert.}", issn = {0893-9454}, doi = {10.1093/rfs/hhw009}, url = {https://dx.doi.org/10.1093/rfs/hhw009}, eprint = {http://oup.prod.sis.lan/rfs/article-pdf/29/8/2069/24453170/hhw009.pdf}, }