introduction: the frequency of floods is one of the characteristics of river flow statistics so thatanalyzing it has an important role to assess the hydrological and economical water resources projects. for determining flood frequency, the estimation of accurate skewness coefficient of annual peak discharges is required. estimation of population skew for different regions will be improved when ...

We find that IPOs with high expected skewness experience significantly greater first-day returns. The skewness effect is stronger during periods of high investor sentiment and is related to differences in skewness across industries as well as time-series variation in the level of skewness in the market. IPOs with high expected skewness earn more negative abnormal returns in the following one to...

Recent literature discusses the persistence of skewness and tail risk in hedge fund returns. The aim of this paper is to suggest an alternative skewness measure  which is derived as the normalized shape parameter from the skew-normal distribution. First, we illustrate that the skew-normal distribution is better able to catch the characteristics of hedge fund returns than the normal distributio...

the present study is an attempt toward evaluating the performance of portfolios using mean-variance-skewness model with negative data. mean-variance non-linear framework and mean-variance-skewness non- linear framework had been proposed based on data envelopment analysis, which the variance of the assets had been used as an input to the dea and expected return and skewness were the output. conv...

This study examines whether idiosyncratic skewness preferences of institutional investors influence stock returns. On aggregate, institutions exhibit an aversion for idiosyncratic skewness but prefer systematic skewness, and in the cross-section, larger (smaller) and more (less) diversified institutions exhibit stronger (weaker) aversion for idiosyncratic skewness. The aggregate institutional p...

this research aims to investigate relationship between skewness and future stock return and the impact of information releases on this relationship. then, the data of 89 companies listed in tehran stock exchange are collected and analyzed for 2009 to 2013. furthermore, the fixed effect panel data method is used to examine the hypothesis. the results show that there exists a negative and signifi...

We investigate the pricing of risk-neutral skewness in the stock options market by creating skewness assets comprised of two option positions (one long and one short) and a position in the underlying stock. The assets are created such that exposure to changes in the underlying stock price (delta) and exposure to changes in implied volatility (vega) are removed, isolating the effect of skewness....

Most multivariate measures of skewness in the literature measure the overall skewness of a distribution. These measures were designed for testing the hypothesis of distributional symmetry and their relevance for describing skewed distributions is less obvious. In this article, we consider the problem of characterising the skewness of multivariate distributions. We define directional skewness as...

Life on Earth is characterized by strong diversity skewness: related lineages typically show pronounced variation in diversification success, and clades contain hyperdiverse and depauperate subclades. Previous studies have documented diversity skewness only for entire (global) clades. We demonstrate methods for measurement and significance testing of diversity skewness of local assemblages and ...