Search Results - "SKEWNESS"

Journal Article

Asymptotic distributions and performance of empirical skewness measures

by Eberl, Andreas Klar, Bernhard Published in Computational statistics & data analysis (01.06.2020)

“...A number of skewness measures have been proposed and applied to theoretical distributions. However, the corresponding empirical counterparts have been analyzed...”

Journal Article

Split sample skewness

by Adil, Iftikhar Hussain Wahid, Abdul Mantell, Edmund H Published in Communications in statistics. Theory and methods (//)

“...The shape of a statistical distribution of data is important in such diverse areas as descriptive analysis, risk analysis, portfolio optimization and strategic...”

Journal Article

Testing for Prudence and Skewness Seeking

by Sebastian Ebert Daniel Wiesen Published in Management science (01.07.2011)

“...Numerous theoretical predictions such as precautionary saving or preventive behavior have been derived for prudent decision makers. Further, prudence can be...”

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Journal Article

Maxing out: Stocks as lotteries and the cross-section of expected returns

by Bali, Turan G Cakici, Nusret Whitelaw, Robert F Published in Journal of financial economics (2011)

“...Motivated by existing evidence of a preference among investors for assets with lottery-like payoffs and that many investors are poorly diversified, we...”

Journal Article

The use of option prices to assess the skewness risk premium

by Elyasiani, Elyas Gambarelli, Luca Muzzioli, Silvia Published in Applied economics (25.11.2020)

“...The aims of this study are twofold. First, to determine the sign and magnitude of the skewness risk premium (SRP) in the Italian index option market using two...”

Journal Article

Average skewness matters

by Jondeau, Eric Zhang, Qunzi Zhu, Xiaoneng Published in Journal of financial economics (01.10.2019)

“...Average skewness, which is the average of monthly skewness values across firms, performs well at predicting future market returns. This prediction still holds...”

Journal Article

Improved light collection in OA-ICOS cells using non-axially-symmetric optics

by Clouser, Benjamin W Sarkozy, Laszlo Moyer, Elisabeth J Published in Applied optics. Optical technology and biomedical optics (20.07.2018)

“...We show that the introduction of a non-axially-symmetric optical component can significantly improve light collection in instruments that use off-axis...”

Journal Article

Generalized beta-generated distributions

by Alexander, Carol Cordeiro, Gauss M Ortega, Edwin M.M Sarabia, José María Published in Computational statistics & data analysis (01.06.2012)

“...This article introduces generalized beta-generated (GBG) distributions. Sub-models include all classical beta-generated, Kumaraswamy-generated and...”

Journal Article

Initial Public Offerings as Lotteries: Skewness Preference and First-Day Returns

by T. Clifton Green Byoung-Hyoun Hwang Published in Management science (01.02.2012)

“...We find that initial public offerings (IPOs) with high expected skewness experience significantly greater first-day returns. The skewness effect is stronger...”

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Journal Article

Does average skewness matter? Evidence from the Taiwanese stock market

by Li, Mingyi Onishchenko, Olena Zhao, Jing Published in Pacific-Basin finance journal (01.09.2020)

“...This paper replicates Jondeau et al. (2019) on the topic of average skewness which is the average of monthly skewness values across firms. First, we...”

Journal Article

Asymmetric Returns and the Economic Content of Accruals and Investment

by Del Viva, Luca Kothari, S. P Lambertides, Neophytos Trigeorgis, Lenos Published in Management science (01.03.2021)

“...This study contributes to our understanding of what accruals capture and how they relate to the distribution of future returns. It examines the past and future...”

Journal Article

Trading leveraged Exchange-Traded products is hazardous to your wealth

by D’Hondt, Catherine McGowan, Richard Roger, Patrick Published in The Quarterly review of economics and finance (01.05.2021)

“...•The typical retail user of leveraged Exchange Traded Products (ETPs) looks like an overconfident gambler.•The retail investors who use leveraged ETPs get a...”

Journal Article

Algorithmic trading and firm value

by Hatch, Brian C Johnson, Shane A Wang, Qin Emma Zhang, Jun Published in Journal of banking & finance (01.04.2021)

“...Using data from 2002 to 2013, we show that algorithmic trading has a positive impact on firm value. Most of this positive impact flows through the channels of...”

Journal Article

Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach

by Briec, Walter Kerstens, Kristiaan Jokung, Octave Published in Management science (01.01.2007)

“...This paper proposes a nonparametric efficiency measurement approach for the static portfolio selection problem in mean-variance-skewness space. A shortage...”

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Journal Article

Skewness of Fuzzy Numbers and Its Applications in Portfolio Selection

by Xiang Li Sini Guo Lean Yu Published in IEEE transactions on fuzzy systems (01.12.2015)

“...A fuzzy number is a normal and convex fuzzy subset of the real line. In this paper, based on membership function, we redefine the concepts of mean and variance...”

Journal Article

Modified boxplot for extreme data

by Babura, Babangida Ibrahim Adam, Mohd Bakri Fitrianto, Anwar Rahim, A. S. Abdul
edited by Yunus, Rossita Mohamad Mohamed, Ibrahim Bakar, Shaiful Anuar Abu
Published in AIP conference proceedings (12.05.2017)

“...A boxplot is an exploratory data analysis (EDA) tool for a compact distributional summary of a data set. It is designed to captures all typical observations...”

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