Search Results - subject:"Idiosyncratic skewness"

Bank affiliation and lottery-like characteristics of mutual funds

Wang, Xiaoxiao - In: International review of economics & finance : IREF 93 (2024) 2, pp. 944-963

Persistent link: https://www.econbiz.de/10014535671

Kumar, Alok; Motahari, Mehrshad; Taffler, Richard J. - In: Management science : journal of the Institute for … 70 (2024) 7, pp. 4328-4356

Persistent link: https://www.econbiz.de/10015045899

Extreme returns and idiosyncratic risks : evidence from an emerging market

Cho, Eunyoung - In: Journal of derivatives and quantitative studies 29 (2021) 1, pp. 29-48

In this paper, we show that there is a negative premium for MAX stocks in the Korean stock market. However, there is no evidence that the MAX effect overwhelms the effects of idiosyncratic risk. When we control for idiosyncratic risk, the negative relationship between extreme returns and future...

Persistent link: https://www.econbiz.de/10012592789

Analyst coverage and the idiosyncratic skewness effect in the Taiwan stock market

Lin, Mei-Chen - In: International review of financial analysis 85 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014235017

Does expected idiosyncratic skewness of firms' profit predict the cross-section of stock returns? : evidence from China

Zhang, Qun; Zhang, Peihui; Liu, Hao - In: Research in international business and finance 64 (2023), pp. 1-26

Persistent link: https://www.econbiz.de/10014266342

On the pricing of expected idiosyncratic skewness

Cui, Xiangyu; Guan, Zheng - In: Economics letters 216 (2022), pp. 1-5

Persistent link: https://www.econbiz.de/10013448356

Measuring skewness premia

Langlois, Hugues - 2018

We provide a new methodology to empirically investigate the respective roles of systematic and idiosyncratic skewness … systematic and idiosyncratic skewness which are easier to predict than their actual values. Compared to other measures of ex ante … idiosyncratic skewness in pricing stocks is less robust. Finally, we document how the determinants of systematic and idiosyncratic …

Persistent link: https://www.econbiz.de/10012111147

Is the renminbi a safe-haven currency? : Evidence from conditional coskewness and cokurtosis

Cheng, Xin; Chen, Hongyi; Zhou, Yinggang - In: Journal of international money and finance 113 (2021), pp. 1-23

Persistent link: https://www.econbiz.de/10012798503

Idiosyncratic skewness and cross-section of stock returns : evidence from Taiwan

Lin, Mei-Chen; Lin, Yu-Ling - In: International review of financial analysis 77 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10012805868

Asymmetric returns and the economic content of accruals and investment

Del Viva, Luca; Kothari, S. P.; Lambertides, Neophytos; … - In: Management science : journal of the Institute for … 67 (2021) 6, pp. 3921-3942

Persistent link: https://www.econbiz.de/10012607194