This research aims to explore for portfolio construction using Roy Criterion. Data was used monthly data of Kompas 100 Indec for period of 2015 to 2022. The result found that 66 stocks for using ...equal and market capitalization, 22 stocks using Elton Gruber Method. The research's findings are as follows Roy criterion could be used to construct portfolio with determining achievement of minimum return. Portfolio return using Roy criterion is vary from 0.631% to 0.638% per month. The market capitalization weighted Portfolio return is highest then equal weighted portfolio return. Elton Gruber method also used to construct portfolio, then this method has highest return compared to others methods. The Market shock affected all portfolio return and Interest rate has affected portfolio return for equal weighted and Elton Gruber Method.
A new three-parameter Nadarajah Haghighi model is introduced and studied. The new density has various shapes such as the right skewed, left skewed and symmetric and its corresponding hazard rate ...shapes can be increasing, decreasing, bathtub, upside down and constant. Characterization results are obtained based on two truncated moments and in terms of the hazard function. An example is presented for illustrating the importance of the new model.
Average skewness matters Jondeau, Eric; Zhang, Qunzi; Zhu, Xiaoneng
Journal of financial economics,
10/2019, Volume:
134, Issue:
1
Journal Article
Peer reviewed
Average skewness, which is the average of monthly skewness values across firms, performs well at predicting future market returns. This prediction still holds after controlling for the size or ...liquidity of the firms or for current business cycle conditions. Also, average skewness compares favorably with other economic and financial predictors of subsequent market returns. The asset allocation exercise based on predictive regressions also shows that average skewness generates superior performance.
This paper provides new evidence on the pricing of market skewness risk by incorporating investor sentiment in the relation between sensitivity to innovations in implied market skewness and expected ...stock returns. Using both univariate and multivariate specifications, we conduct an extensive series of asset pricing tests on the cross-section of stocks during high and low sentiment periods separately. We find that market skewness risk carries a negative premium that cannot be explained away by known risk factors when sentiment is low. In contrast, the results are not conducive to a risk explanation when sentiment is high.
We provide a new methodology to empirically investigate the respective roles of systematic and idiosyncratic skewness in explaining expected stock returns. Using a large number of predictors, we ...forecast the cross-sectional ranks of systematic and idiosyncratic skewness, which are easier to predict than their actual values. Compared to other measures of ex ante systematic skewness, our forecasts create a significant spread in ex post systematic skewness. A predicted systematic skewness risk factor carries a significant and robust risk premium that ranges from 6% to 12% per year. In contrast, the role of idiosyncratic skewness in pricing stocks is less robust.
We employ a GARCH-type model to jointly estimate returns, conditional variance and skewness and show that conditional skewness outperforms sample skewness and conditional and sample variance in ...predicting future Bitcoin returns. Interestingly, the results show that the relationship between conditional skewness and future Bitcoin returns is different depending on the sample period. In the first subsample (2018–2020), a period of relative calm in the Bitcoin market, the relationship is negative, which is in line with that found in the literature. However, in the second subsample (2021–2022), a period of major turmoil in the Bitcoin market, the relationship is positive, which is consistent with that found in previous papers on the relationship between conditional market skewness and future index returns during crisis periods. Based on these results, a dynamic buy and sell strategy of buying or selling Bitcoin based on the estimated conditional skewness is proposed. This dynamic strategy outperforms a static buy-and-hold strategy. The profitability of this strategy can be viewed as the reward that investors demand for bearing the risk associated with the changing conditions in the cryptocurrency market that generate time-varying expected returns.
•Conditional skewness performs well at predicting future Bitcoin returns.•In periods of major crises the relation Bitcoin skewness-future returns is positive.•A dynamic strategy based on Bitcoin skewness outperforms a buy-and-hold strategy.•Profitability found is the reward for bearing risk of time-varying expected returns.
Understanding sediment transport processes on natural sandy beaches is essential for gaining insights into beach recovery and making effective coastal management decisions. This study examines ...surfzone sediment transport rates related to beachface morphological variations on an embayed mesotidal sandy beach located on the northwestern coast of the Baja California Peninsula in Mexico. Data were collected during a week-long field experiment conducted in June 2016 under low-to-moderate wave energy conditions (Hs=0.4−1.3m). Daily topographical surveys and continuous measurements of near-bottom suspended sediment fluxes were conducted alongside the application of an extended energetics-based model that accounted for velocity and acceleration skewness. Results reveal contrasting accretionary and erosive patterns in the inner surfzone, along with consistent sediment deposition in the swash zone throughout the study period. Onshore sediment transport is found to be related to short-period calm wave conditions (Hs<0.7 m; Tp<10 s) and a weak undertow (<0.2 ms−1). Alongshore nonuniform wave breaking, influenced by irregular bathymetry and moderate-energetic oblique waves from the northwest, contributes to an alongshore gradient in sediment transport rate, leading to erosion in the northern part of the intertidal beach and accretion in the southern part. Suspended sediment flux measurements at 0.2 m above the bed suggest offshore mean transport predominates over oscillatory transport throughout the field experiment. Nevertheless, this observation should be interpreted with caution, as the flux is not vertically integrated across the water column and does not consider fluid acceleration. The model predictions effectively replicate sediment transport rates and consequent volumetric changes (Accuracy = 55–63%; RMSE = 44–69 m3; Bias=−2 to −61 m3), although they underestimate observed accretion by a factor of three and overestimate erosion by a factor of two. Overall, this research highlights the complexities of natural sandy beach recovery processes in mesotidal environments and emphasizes the importance of considering both cross-shore and longshore components in sediment transport assessments.
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•Beachface accretion remains consistent under low-to-moderate wave conditions.•Combined velocity- and acceleration-skewness model reproduces onshore sediment transport, but underestimates beachface accretion.•Erosive and accretive surfzone patterns are linked to nonuniform wave breaking influenced by bathymetry.•Undertow significantly governs offshore sediment flux near the seabed within the surfzone.
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 procedures: (i) skewness swap contracts, ...(ii) option trading strategies consisting of positions in options and their underlying assets. Second, to investigate the term structure of the SRP for 30, 60 and 90-day maturities to provide investors with a proper time horizon for profitable skewness trading strategies. Several results are obtained. First, the SRP, defined as the difference between the physical and the risk-neutral skewness, is positive and statistically and economically significant. These findings indicate that the SRP does exist, it is positive in sign, and it can be quantified. Second, the SRP is higher in magnitude for short-term maturity (€35 for the 30-day maturity) and lower for 60-day and 90-day maturities (both about €27). Third, skewness trading strategies confirm our finding of a positive and economically significant SRP. Fourth, a strategy that sells out-of-the-money puts is more profitable for medium-term maturities compared to short-term maturities. A strategy that takes a long position on out-of-the-money calls, and a short position on out-of-the-money puts, yields a higher return, if near-term options are used.
To summarise skewed (asymmetric) distributions, such as reaction times, typically the mean or the median are used as measures of central tendency. Using the mean might seem surprising, given that it ...provides a poor measure of central tendency for skewed distributions, whereas the median provides a better indication of the location of the bulk of the observations. However, the sample median is biased: with small sample sizes, it tends to overestimate the population median. This is not the case for the mean. Based on this observation, Miller (1988) concluded that "sample medians must not be used to compare reaction times across experimental conditions when there are unequal numbers of trials in the conditions". Here we replicate and extend Miller (1988), and demonstrate that his conclusion was ill-advised for several reasons. First, the median's bias can be corrected using a percentile bootstrap bias correction. Second, a careful examination of the sampling distributions reveals that the sample median is median unbiased, whereas the mean is median biased when dealing with skewed distributions. That is, on average the sample mean estimates the population mean, but typically this is not the case. In addition, simulations of false and true positives in various situations show that no method dominates. Crucially, neither the mean nor the median are sufficient or even necessary to compare skewed distributions. Different questions require different methods and it would be unwise to use the mean or the median in all situations. Better tools are available to get a deeper understanding of how distributions differ: we illustrate the hierarchical shift function, a powerful alternative that relies on quantile estimation. All the code and data to reproduce the figures and analyses in the article are available online.
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