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Research Seminar: Co-skewness across Return Horizons

Research Seminar: Co-skewness across Return Horizons

Nazarbayev University Graduate School of Business invites you to the Research Seminar titled "Co-skewness across Return Horizons" by Dr.Thomas Conlon


In this paper, the impact of investment horizon on asset co-skewness is examined both empirically and theoretically. We detail a strong horizon-based estimation bias for co-skewness. An asset that has positive co-skewness in one horizon may have negative co-skewness in another. This phenomenon is particularly evident for small-capitalization stocks. We propose a theoretical model to estimate long-horizon co-skewness using the shortest horizon data, which emphasizes the role of adjustment delays in pricing market-wide information among securities. Moreover, in the absence of intertemporal correlation, we show that co-skewness remains horizon-dependent. Our findings are robust to alternative specifications and have strong implications for asset pricing or portfolio allocation with co-skewness.

Area: Finance

Time: 6 pm - 7 pm


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Wednesday, April 28, 2021






Dr.Thomas Conlon

Associate Professor of Finance at the UCD School of Business

Tom Conlon is Associate Professor of Finance at the UCD School of Business. His research interests are in quantitative finance, especially asset allocation, asset pricing and risk management. His research has been published in scholarly journals such as the European Journal of Operational Research, Journal of Financial Stability and Journal of International Money and Finance. He is Associate Editor for a number of journals. Tom has previously been a visiting researcher at the Saïd Business School, University of Oxford and Simon Fraser University. He has received over €1m in research funding from Science Foundation Ireland, the Irish Research Council and other sources.