---
title: Volatility, Leverage, and Skewness in Stock Returns
url: https://www.ml-quant.com/papers/ssrn/4742615/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4742615
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4742615
featured: 2024-03-06
citations: unknown
topic: Derivatives & Volatility
---


# Volatility, Leverage, and Skewness in Stock Returns

The study finds that variance shocks strongly influence the conditional skewness of index returns, impacting asset pricing, portfolio selection, and risk management applications.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4742615
- Identifier: SSRN 4742615
- Released: 2022-04-27
- First featured: Quant Letter No. 39 (2024-03-06): https://www.ml-quant.com/issues/2024-03-06/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

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