Statistics Seminar（2016-03）

Topic:Asymmetry in Stock Comovements: An Entropy Measure

Speaker:Ke Wu, Renmin University of China

Time:Tuesday, 5 April, 14:00-15:30

Place:Room 216, Guanghua Building 2

Abstract:

We provide an entropy measure of asymmetric comovements between an asset return and the market return. This measure yields a model-free test for stock returns asymmetry, generalizing the correlation-based test proposed by Hong, Tu, and Zhou (2007). Based on this test, we find that asymmetry is much more pervasive than previously thought. Moreover, in the cross section of stock returns, we find an asymmetry risk premium: The higher a stock's downside asymmetric comovement with the market, the higher the expected return. Our findings are consistent with the theoretical implications of a representative agent model with disappointment aversion preferences.

Introduction:

Ke Wu is an Assistant Professor at Hanqing Advanced Institute of Economics and Finance, Renmin University of China. His Research field are Empirical Asset Pricing, Financial Econometrics, Nonparametric Methods.

//www.hanqing.ruc.edu.cn/eng/teacher_jsw.php?id=54

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