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This study examines the role of skewness as a priced risk factor in the Thai stock market, drawing on both rational and behavioral asset pricing theories. Theoretically, skewness captures return asymmetry that investors may price due to downside risk aversion or misprice due to lottery-seeking behavior. Using daily data from 2005 to 2024, we construct decile portfolios based on lagged skewness and find a significant negative relationship between skewness and future returns. A long-short strategy that buys stocks with the lowest skewness and shorts those with the highest yields an average excess return of 1.017% monthly. Standard models (including CAPM, Fama-French three-factor, Carhart four-factor, and Fama-French five-factor frameworks) fail to explain this anomaly, as the alpha of the skewness-sorted portfolio remains significantly positive in all specifications. Fama-MacBeth regressions further confirm skewness as a priced risk factor in the cross-section of returns. These findings challenge the semi-strong form of the Efficient Market Hypothesis (EMH) and highlight persistent market inefficiencies in Thailand, where short-selling constraints, behavioral biases, and asymmetric return expectations are prevalent. This study contributes to the emerging market asset pricing literature and offers practical insights for portfolio construction and regulatory design.
Huỳnh et al. (Wed,) studied this question.