Which parametric model for conditional skewness?
نویسندگان
چکیده
منابع مشابه
Option Valuation with Conditional Skewness
ASSOCIÉ À :. Institut de Finance Mathématique de Montréal (IFM 2). Laboratoires universitaires Bell Canada. Réseau de calcul et de modélisation mathématique [RCM 2 ]. Réseau de centres d'excellence MITACS (Les mathématiques des technologies de l'information et des systèmes complexes) Les cahiers de la série scientifique (CS) visent à rendre accessibles des résultats de recherche effectuée au CI...
متن کاملConditional Skewness of Aggregate Market Returns
The characteristics of the distribution of security returns, such as skewness, play a significant role in financial theory and practice. This paper examines whether conditional skewness of daily aggregate market returns is predictable and investigates the economic mechanisms underlying this predictability. In both developed and emerging markets, there is strong evidence that lagged returns pred...
متن کاملConditional Skewness in Asset Pricing Tests
If asset returns have systematic skewness, expected returns should include rewards for accepting this risk. We formalize this intuition with an asset pricing model that incorporates conditional skewness. Our results show that conditional skewness helps explain the cross-sectional variation of expected returns across assets and is significant even when factors based on size and book-to-market ar...
متن کاملForecasting Crash risk using Business Strategy, Equity Overvaluation and Conditional Skewness in Stock Price
A firm is called to have stock price crash risk if the firm has a tendency to experience a sudden drop in its stock price. In this study, the relation between the firm-level of business strategy and future stock price crash risk Is examined, as well as the effect of stock overvaluation on the relationship between business strategy and crash risk investigated. Using the strategy index and crash ...
متن کاملIntegrated Conditional Moment Tests for Parametric Conditional Distributions
This paper extends the Integrated Conditional Moment (ICM) test for the functional form of nonlinear regression models to tests for parametric conditional distributions. This test is formed on the basis of the integrated squared difference between the empirical characteristic function of the actual data and the characteristic function implied by the model. This test is consistent, and has nontr...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The European Journal of Finance
سال: 2014
ISSN: 1351-847X,1466-4364
DOI: 10.1080/1351847x.2013.877515