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【学术沙龙】第21期Asymmetric Variance Premium, Skewness Premium, and the Cross-Section of Stock Returns
发布时间：2019-03-21
【时间】2019年3月27日14:00
【地点】威廉希尔williamhill教学楼A302教室
【嘉宾】黄涛 博士(西交利物浦大学 国际威廉希尔williamhill)
【研究领域】实证资产定价、国际金融市场、市场微观结构、共同基金，以及金融大数据、机器学习和量化交易策略
【主题】：Asymmetric Variance Premium, Skewness Premium, and the Cross-Section of Stock Returns
【摘要】：We find a positive relationship between the individual stocks" asymmetric variancepremia, 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 statisticallyhighly 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 predictive power of asymmetric variance premium is information-driven and reflects trading activity of informed traders who place more transactions on options.