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  • Search: subject:"Idiosyncratic skewness"
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Year of publication
Subject
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Capital income 21 Kapitaleinkommen 21 Idiosyncratic skewness 17 Portfolio selection 14 Portfolio-Management 14 Statistical distribution 13 Statistische Verteilung 13 Börsenkurs 11 Share price 11 Capital market returns 9 Kapitalmarktrendite 9 Forecasting model 7 Prognoseverfahren 7 Volatility 7 Volatilität 7 idiosyncratic skewness 6 Aktienmarkt 5 Anlageverhalten 5 Behavioural finance 5 Stock market 5 CAPM 4 China 4 Risiko 4 Risikoprämie 4 Risk 4 Risk premium 4 Asymmetric betas 3 Gambling 3 Glücksspiel 3 Lévy process 3 Taiwan 3 Arbitrage 2 Average skewness 2 Börsengang 2 Chinese stock market 2 Estimation 2 Estimation theory 2 IPO first-day returns 2 Idiosyncratic volatility 2 Initial public offering 2
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Online availability
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Undetermined 20 Free 3 CC license 1
Type of publication
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Article 24 Book / Working Paper 2
Type of publication (narrower categories)
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Article in journal 20 Aufsatz in Zeitschrift 20 Arbeitspapier 2 Working Paper 2 Graue Literatur 1 Non-commercial literature 1 research-article 1
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Language
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English 23 Undetermined 3
Author
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Papantonis, Ioannis 3 Polimenis, Vassilis 3 Jondeau, Eric 2 Langlois, Hugues 2 Lin, Mei-Chen 2 Zhang, Qunzi 2 Aissia, Dorsaf Ben 1 Almeida, Caio 1 Ben Aissia, Dorsaf 1 Blau, Benjamin 1 Chang, Eric C. 1 Chen, Hongyi 1 Cheng, Joseph W. 1 Cheng, Xin 1 Cho, Eunyoung 1 Cui, Xiangyu 1 Cui, Xin 1 DeLisle, R. Jared 1 Del Viva, Luca 1 Fang, Zhenming 1 Guan, Zheng 1 Kim, Thomas 1 Kothari, S. P. 1 Kumar, Alok 1 Lambertides, Neophytos 1 Li, Mingyi 1 Lin, Yu-Ling 1 Liu, Hao 1 Motahari, Mehrshad 1 Onishchenko, Olena 1 Pinegar, J. Michael 1 Ricca, Bernardo 1 Taffler, Richard J. 1 Tang, Wei 1 Tessari, Cristina 1 Trigeorgis, Lenos 1 Walcott, Nathan 1 Wang, Chunfeng 1 Wang, Xiaoxiao 1 Whitby, Ryan J. 1
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Published in...
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International review of financial analysis 2 Journal of financial economics 2 Management science : journal of the Institute for Operations Research and the Management Sciences 2 Pacific-Basin finance journal 2 Annals of economics and finance 1 Applied economics 1 Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society 1 Economics letters 1 Finance research letters 1 HEC Paris research paper series 1 International review of economics & finance : IREF 1 Journal of Risk Finance 1 Journal of derivatives and quantitative studies : Seonmul yeongu 1 Journal of international money and finance 1 Journal of risk finance : the convergence of financial products and insurance 1 Pacific-Basin Finance Journal 1 Research in international business and finance 1 Research paper series / Swiss Finance Institute 1 Review of Financial Economics 1 Review of financial economics : RFE 1 Swiss Finance Institute Research Paper 1 The Journal of Risk Finance 1 The quarterly journal of finance 1
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Source
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ECONIS (ZBW) 22 RePEc 3 Other ZBW resources 1
Showing 1 - 10 of 26
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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
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Skewness sentiment and market anomalies
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
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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
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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
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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
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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
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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
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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
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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
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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
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