This study investigates the predictability of sample skewness on Indonesian stock market returns as represented by JCI, LQ45, and JCI. The period starts from January 2001 to December 2022, with a prediction July 2009 2022 that accommodates COVID-19 pandemic crisis. results showed was able predict excess one month in advance. ability emerged, especially when crisis hit. finding indicates investo...

In the asset pricing literature, time-variation in market expected excess return captured by financial ratios like dividend yield is typically viewed as a reflection of either changing risk, related to the business cycle, or irrational mispricing. Extending the work on asset allocation and dividend yield by Kandel and Stambaugh (1996) to accommodate variation in risk as well as expected return,...

We find evidence that a significant part of the surge in the spreads of the PIGS countries in the Eurozone during 2010-11 was disconnected from underlying increases in the debt to GDP ratios, and was the result of negative market sentiments that became very strong since the end of 2010. We also find evidence that after years of neglecting high government debt, investors became increasingly worr...