Asymmetric Variance Premium, Skewness Premium, and the Cross-Section of Stock Returns
| 主讲人 |
Junye Li |
简介 |
<p>We find a positive relationship between the individual stocks' asymmetric variance premia, defined as the difference between the risk-neutral and physical expected variance asymmetries, and the future stock returns. The high-minus-low hedge portfolio earns the excess return of 72 basis points per month, the characteristic-adjusted return of 66 basis points per month, and the industry-adjusted return of 79 basis points per month. They are all economically substantial and statistically highly significant. We show that asymmetric variance premium is closely related to skewness premium. Such a positive relationship can not be explained by risk-based asset pricing models. We find that the return predictability power of skewness premium is stronger among stocks that are hard to arbitrage, whose liquidity is low relative to liquidity of options written on them, and/or that face more serious information asymmetry.</p> |
| 时间 |
2018-03-16(Friday)16:40-18:00 |
地点 |
N302, Econ Building |
| 讲座语言 |
English |
主办单位 |
WISE&SOE |
| 承办单位 |
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类型 |
系列讲座 |
| 联系人信息 |
|
主持人 |
Kuo Zhang |
| 专题网站 |
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专题 |
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| 主讲人简介 |
<p>Associate Professor of Finance, ESSEC Business School.</p>
<p>Please see <a href="/Upload/File/2018/3/20180305091738563.pdf"><span style="color: rgb(255, 102, 0);">Prof. Li's CV</span></a> for more information.</p> |
期数 |
厦门大学金融经济学系列讲座2018春第一讲 （总第41讲） |
