讲座题目：Good Idiosyncratic Volatility, Bad Idiosyncratic Volatility, and the Cross-Section of Stock Returns

讲座时间：2022年06月14日（星期二）上午10:00-11:30

讲座方式：腾讯会议ID：758-457-495

密码：0614

讲座链接：https://meeting.tencent.com/dm/lV8HjLxiQJGC

主 讲 人：刘蕴霆，北京大学经济学院助理教授，博士生导师。博士毕业于美国约翰霍普金斯大学。研究领域为资产定价、宏观金融和金融经济学，研究成果发表于Management Science、Economic Letters、财贸经济等国内外著名期刊，并主持国家自然科学基金青年项目一项。

讲座简介：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.