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【6月26日】莫璇 | 第285期金融学院双周学术论坛暨龙马奋进系列讲座_中央财经大学

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【6月26日】莫璇 | 第285期金融学院双周学术论坛暨龙马奋进系列讲座

[发表时间]:2019-06-25 [来源]:金融学院 [浏览次数]:

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

  二、主讲人:莫璇,中央财经大学统计与数学学院博士生。主要研究领域:资产定价,大宗商品。工作论文曾入选2019年Commodity and Energy Markets Association国际年会,并受邀于美国卡耐基梅陇大学Tepper商学院等高校进行宣讲。

  三、时间:2019年6月26日(周三),中午12:30-13:30

  四、地点:学院南路校区主楼910会议室

  五、主持人:朱一峰,中央财经大学金融学院讲师

  

  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.

  


[编辑]:孙颖