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【6月26日】莫璇 | 第285期金融學院雙周學術論壇暨龍馬奮進系列講座

[發表時間]:2019-06-25 [來源]:金融學院 [瀏覽次數]:

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

  二、主講人:莫璇,中央財經大學統計與數學學院博士生。主要研究領域:資產定價,大宗商品。工作論文曾入選2019年Commodity and Energy Markets 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,中央財經大學金融學院講師

  

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

  


[編輯]:孫穎

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