Fundamental skewness affects business cycles and asset prices. We estimate the cross-sectional fundamental skewness shock from firm-level total factor productivity (TFP), and decompose total skewness into right-tail and left-tail skewness, respectively. We find that left-tail skewness is mostly captured by existing pricing factors but right-tail skewness is negatively priced among stocks, and not captured by pricing factors. Moreover, we show that right-tail skewness explains most of post-earningsannouncement drift (PEAD). Last, we show that right-tail skewness is strongly driven by technological innovation shock, i.e., the displacement risk of Kogan et al. (2017).