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莫璇 | 第285期bevictor伟德官网雙周學術論壇暨龍馬奮進系列講座

[發布日期]:2019-06-20  [浏覽次數]:

一、主題:IdiosyncraticSkewness or Coskewness? Evidence from Commodity Futures Returns

二、主講人:莫璇,bevictor伟德官网統計與數學學院博士生。主要研究領域:資産定價,大宗商品。工作論文曾入選2019年Commodity and EnergyMarkets Association國際年會,并受邀于美國卡耐基梅隴大學Tepper商學院等高校進行宣講。

三、時間:2019年6月26日(周三),中午12:30-13:30

四、地點:學院南路校區主樓910會議室

五、主持人:朱一峰,bevictor伟德官网講師

Abstract: We examine the ability ofidiosyncratic skewness and coskewness to explain the cross section of commodityreturns at the characteristics and factor levels, and find that idiosyncraticskewness is significantly related to the cross section of commodity returns, whereascoskewness is not. Furthermore, we construct a tradeable factor based onidiosyncratic skewness and find that it is significantly pricedcross-sectionally in commodity futures. In addition, a new measure ofidiosyncratic skewness (IE) proposed by Jiang, Wu, Zhou, and Zhu (2018) isstronger and more robust in capturing the skewness or asymmetry effect at boththe characteristics and factor levels.



上一條:I-Hsuan Ethan Chiang | 第286期bevictor伟德官网雙周學術論壇暨龍馬奮進系列講座 下一條:逯建 | 第284期bevictor伟德官网雙周學術論壇暨龍馬奮進系列講座

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