Published 2019
| Version v1
Book
Why is the market skewness-return relationship negative?
Creators
Description
The observed negative relationship between market skewness and excess return or the negative price of market skewness risk in the cross-section of stock returns is somewhat counterintuitive when we consider the usual interpretation of e.g. option-implied skewness as an indicator of jump risk or downside risk.
Additional details
Identifiers
Publishing Information
- Publisher
- Universdad de Granada
- Imprint Place
- Granada (Spain)
- Imprint Title
- ITISE 2019. Proceedings of papers. Vol 1
- Imprint Pagination
- 789 p.
- Journal Page Range
- 1 p.
Conference
- Title
- International Conference on Time Series and Forecasting
- Acronym
- ITISE 2019
- Dates
- 25-27 Sep 2019
- Place
- Granada (Spain)
INIS
- Country of Publication
- Spain
- Country of Input or Organization
- Spain
- INIS RN
- 52034248
- Subject category
- S97: MATHEMATICAL METHODS AND COMPUTING;
- Resource subtype / Literary indicator
- Conference
- Descriptors DEI
- MATHEMATICS; STATISTICS; VARIATIONS
- Descriptors DEC
- MATHEMATICS