講座題目：Good Idiosyncratic Volatility, Bad Idiosyncratic Volatility, and the Cross-Section of Stock Returns

講座時間：2022年06月14日（星期二）上午10:00-11:30

講座方式：騰訊會議ID：758-457-495

密碼：0614

講座鏈接：https://meeting.tencent.com/dm/lV8HjLxiQJGC

主 講 人：劉蘊霆，北京大學(xué)經(jīng)濟學(xué)院助理教授，博士生導(dǎo)師。博士畢業(yè)于美國約翰霍普金斯大學(xué)。研究領(lǐng)域為資產(chǎn)定價、宏觀金融和金融經(jīng)濟學(xué)，研究成果發(fā)表于Management Science、Economic Letters、財貿(mào)經(jīng)濟等國內(nèi)外著名期刊，并主持國家自然科學(xué)基金青年項目一項。

講座簡介：We decompose the idiosyncratic volatility of stock returns into “good” and “bad” volatility components, and estimate a cross-sectional model for expected good minus bad volatility. Expected good minus bad volatility not only more accurately measures conditional idiosyncratic skewness, but also yields stronger return predictability. Importantly, the return predictability remains significant when controlling for expected idiosyncratic skewness and exposure to skewness-related factors.  Furthermore, our result suggest that growth options earn lower returns mainly because they lead to positively skewed returns. Although investors may dislike extreme losses more than gains, we do not find it critical to our results.