一、主题：IdiosyncraticSkewness or Coskewness? Evidence from Commodity Futures Returns

二、主讲人：莫璇，伟德betvlctor体育官方网站统计与数学学院博士生。主要研究领域：资产定价，大宗商品。工作论文曾入选2019年Commodity and EnergyMarkets Association国际年会，并受邀于美国卡耐基梅陇大学Tepper商学院等高校进行宣讲。

三、时间：2019年6月26日（周三），中午12:30-13:30

四、地点：学院南路校区主楼910会议室

五、主持人：朱一峰，伟德betvlctor体育官方网站讲师

Abstract: We examine the ability ofidiosyncratic skewness and coskewness to explain the cross section of commodityreturns at the characteristics and factor levels, and find that idiosyncraticskewness is significantly related to the cross section of commodity returns, whereascoskewness is not. Furthermore, we construct a tradeable factor based onidiosyncratic skewness and find that it is significantly pricedcross-sectionally in commodity futures. In addition, a new measure ofidiosyncratic skewness (IE) proposed by Jiang, Wu, Zhou, and Zhu (2018) isstronger and more robust in capturing the skewness or asymmetry effect at boththe characteristics and factor levels.