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This paper argues that the canonical search-and-matching model cannot generate the observed cyclical asymmetry of the unemployment rate. In the United States, the unemployment rate raises quickly and abruptly at the onset of contractions and declines slowly and gradually during expansions. This pattern produces positive skewness in the distribution of unemployment rate changes, while the model produces a counterfactually negative skewness. The key feature of the model responsible for this counterfactual prediction is the convexity of hiring costs in aggregate employment, which leads to excessive responsiveness of job vacancies to positive shocks in periods of high unemployment. I argue that the inability of the model to replicate the cyclical asymmetry in the data stands regardless of its ability to generate realistic fluctuations in unemployment. Furthermore, high replacement rates and real wage rigidity (both fixed and downward rigid wages) - commonly used to enhance amplification of shocks - do not resolve the puzzle, rather they make it worse.

At long horizons, multiplicative compounding induces strong-to-extreme positive skewness into stock returns; the magnitude of the effect is primarily determined by single-period volatility. Consequently, at horizons greater than 5 years, returns—individual or portfolio—will be positively skewed under reasonable parameterizations. From an investor perspective, the strong positive skewness implies that the mean compound return will serve as a poor guide for typical long-horizon outcomes. Moreover, the large effects of compounding on higher-order moments are shown to affect the validity of Taylor expansions used to approximate preferences for skewness, when applied to returns of annual or longer horizons.

This paper investigates the impact of firm-level innovation on the skewness of stock returns. Using data on a broad sample of equities from the major US stock exchanges, we find that innovative companies exhibit strong positive skewness. Our results are robust to both input and output measures of innovation as we find that increases in both firm-level research and development expenditure (R&D), as well as the number of patents, are positively associated with future stock return skewness. Our results hold using both systematic and idiosyncratic measures of skewness while controlling for various stock characteristics, time, and industry-fixed effects.

This study examines the relationship between low decadal mean precipitation and monthly-scale wet and dry extremes over the global land area. We characterise how precipitation distributions change on decadal timescales, and how these changes are linked to seasonal scale drought. The relationship between decadal mean precipitation and extremes is assessed at the grid point level via correlations between decadal mean and extreme percentiles, and through an analysis of indices of seasonal scale drought. A novel metric is also used that determines how the first three statistical moments change monthly precipitation distributions during dry decades for several drought-prone regions. Changes to monthly-scale wet extremes are most significantly associated with low decadal mean precipitation for almost 80% of the globe. Monthly-scale dry extremes show significant, but generally weaker, relationships to low decadal-mean precipitation for 55% of the globe. Consistent with the strong link between decreasing wet extremes and decadal dryness, we find that dry decades are predominatly modulated by changes in positive skewness in monthly precipitation distributions, whilst shifts in the mean of these distributions play an important, but typically secondary, role. There is a negligible role for changes in variance. Lastly, we show that a decadal-scale decline in mean precipitation is rarely accompanied by an increase in the severity of seasonal-scale drought, while the impact on seasonal-scale drought frequency and duration varies depending on global location. Our results have implications for how we think about seasonal-scale drought in the context of decadal variability in precipitation.

This paper develops a model for analyzing skewness in returns when an investor observes a novel skew-normally distributed signal about a risky asset's payoff. The equilibrium third moment increases with the signal's skewness, and its magnitude increases with the signal's noisiness. Using institutional ownership and market capitalization as proxies for information precision, we find that both proxies are significantly and negatively correlated with the future absolute third moment in firm returns in China. We show that these relations are mainly driven by the negative third moment. The two proxies are positively correlated with future skewness, which contradicts the corresponding relations found in the US. Our model can reconcile the opposite findings if the US evidence is driven by positive skewness. This paper suggests that it is more appropriate to forecast positive and negative skewness separately when using information-precision proxies.

We challenge the view that PIPEs lead to unfavourable outcomes for issuing firms. We show that structured PIPEs do not have significant negative CARs when a matched firm benchmark is used for computing CARs and when sample selection bias is taken into account. Indeed, structured PIPEs have significantly higher positive skewness, indicating superior optionality, consistent with the real option argument. We also show that the 2002 intervention by the Securities and Exchange Corporation (SEC) has led to unintended consequences, with the substitution of ‘mom and pop’ investors for hedge fund investors in the structured PIPE market.

We propose the skewness of mean transverse momentum, $\langle p_t \rangle$, fluctuations as a fine probe of hydrodynamic behavior in relativistic nuclear collisions. We describe how the skewness of the $\langle p_t \rangle$ distribution can be analyzed experimentally, and we use hydrodynamic simulations to predict its value. We predict in particular that $\langle p_t \rangle$ fluctuations have positive skew, which is significantly larger than if particles were emitted independently. We elucidate the origin of this result by deriving generic formulas relating the fluctuations of $\langle p_t \rangle$ to the fluctuations of the early-time thermodynamic quantities. We postulate that the large positive skewness of $\langle p_t \rangle$ fluctuations is a generic prediction of hydrodynamic models., 13 pages; 4 figures; v2: corrections in Sec IIIA and appendix A; v3: published version; improved baseline for stat. fluctuations in Fig 3; Expanded discussion in Sec. V

Objectives: Assess computed tomography texture analysis of patients likely to benefit from nivolumab. Materials & methods: Texture analysis was used to quantify heterogeneity within the largest tumor before immunotherapy. Histogram analysis was classified as hyperdense (positive skewness) or hypodense (negative skewness) and subclassified on median standard deviation value or entropy measurement. Results: 47 patients were included. At a median follow-up of 18 months, statistical significant differences in progression-free survival were observed when stratified by positive skewness with low entropy, hazard ratio: 0.43 (0.19–0.95); p = 0.036, and positive skewness with low standard deviation, hazard ratio: 0.42 (0.18–0.96); p = 0.04. Conclusion: Patients who derive a clinical benefit to Nivolumab show a computed tomography texture of a hyperdense yet homogenous tumor.

The risk-return characteristics of art as an asset have been previously studied through aggregate price indexes. By contrast, we examine the long-run buy-and-hold performance of an actual portfolio, namely, the collection of John Maynard Keynes. We find that its performance has substantially exceeded existing estimates of art market returns. Our analysis of the collection identifies general attributes of art portfolios crucial in explaining why investor returns can substantially diverge from market returns: transaction-specific risk, buyer heterogeneity, return skewness, and portfolio concentration. Furthermore, our findings highlight the limitations of art price indexes as a guide to asset allocation or performance benchmarking. (JEL B26, C43, G11, G12, G14, Z11) Received: September 7, 2018: Editorial decision: November 24, 2019 by Editor: Nikolai Roussanov

This paper studies the MAX effect, the relationship between maximum daily returns and future returns in the cryptocurrency market. The cryptocurrency market is an ideal setting for the MAX effect due to its lottery-like features (i.e., large positive skewness). Contrary to findings in other markets, we demonstrate that cryptocurrencies with higher maximum daily returns tend to achieve higher returns in the future and call this the “MAX momentum” effect. We also find that the magnitude of the MAX momentum effect varies with market conditions, investor sentiment and the underpricing of cryptocurrencies. Additionally, this effect is robust to longer holding periods, different MAX measures and alternative sample selection criteria.

Research in neuropsychology shows that individuals process small and large numbers differently. Small numbers are processed on a linear scale, while large numbers are processed on a logarithmic scale. In this paper, we show that financial analysts process small prices and large prices differently. When they are optimistic (pessimistic), analysts issue more optimistic (pessimistic) target prices for small price stocks than for large price stocks. Our results are robust when controlling for the usual risk factors such as size, book-to-market, momentum, profitability and investments. They are also robust when we control for firm and analyst characteristics, or for other biases such as the 52-week high bias, the preference for lottery-type stocks and positive skewness, and the analyst tendency to round numbers. Finally, we show that analysts become more optimistic after stock splits. Overall, our results suggest that a deeply-rooted behavioral bias in number processing drives analysts’ return expectations.

This paper describes an experimental study that yields evidence for the coexistence of two decision strategies of choice under risk. Under the first strategy, choices are made based on aspiration levels – a heuristic that simplifies risky decisions. Under the second strategy, which can be used when aspiration levels are not determinative, choices are made based on preferences for positive skewness. Our model fitting confirms the efficacy of a two-pronged approach that can marshal either strategy depending on specific features of the risky prospects under consideration.

Commodity Trading Advisors (CTAs) are associated with preferable risk–return characteristics, especially during market dislocations. However, it is still difficult to identify the underlying return sources of the strategy due both to lack of data and to potentially biased available data. After setting up a cleaned universe of CTAs building on data from 1971 to 2016 and accounting for specific biases, the authors empirically analyze their return distributions. In line with existing research, their results show the non-normal distribution of CTA return profiles, in particular statistically significant leptokurtic distributions. The common claim that CTAs exhibit positive skewness, however, cannot be confirmed. Further, they empirically study the two most commonly claimed risk–return properties typically associated with CTAs: improved risk-adjusted returns of traditional portfolios through allocation to CTAs and above-average risk-adjusted returns of CTAs on a stand-alone basis. They confirm the first claim but do not find sufficient evidence supporting the second claim.

We develop an online survey to investigate the characteristics of slot/videopoker players and scratchers (individuals buying tickets of scratch-off lotteries). We find evidence of a negative relationship between gambling and financial literacy. More specifically, after controlling for gender, education, income, employment status and area of residence: (1) slot and/or videopoker players have an 8% lower probability of answering correctly to all of the three standard financial education questions; (2) scratch-off players have a 10% lower probability of answering correctly to the (third) mutual fund risk diversification question, (3) a correct answer to all financial education questions raises by 14% the probability of declaring unwillingness to play due to lack of economic convenience. Scratch-off players are as well more impatient and more likely to sacrifice expected value for positive skewness and they overestimate the probability of winning at least the price of the ticket. Our findings suggest that scratchers and slot/videopoker players may be unable to evaluate the overall consequences of gambling on their economic wellbeing due to their lower financial education.

In this study, we examine the relationship between return skewness, short interest, and the efficiency of stock prices. Given that preferences for skewness have been shown to impact asset prices, we examine how skewness relates to market efficiency. We find that stocks with positive skewness and/or idiosyncratic skewness are less efficient than other stocks, which might be explained by overvaluation caused by investor preferences for positive skewness. Next, we document that short interest reduces both total skewness and idiosyncratic skewness. Finally, while prior research has shown that short selling can improve the efficiency of markets generally, we show that short interest’s ability to improve market efficiency is strongest in stocks with the highest skewness.

The present study was conducted to evaluate the selection criteria in 48 chickpea germplasm accessions using correlation, path analysis, principal component analysis and cluster analysis based on fourteen morphological traits. These traits included seven vegetative traits (viz., plant height, plant width, number of basal primary branches per plant, number of apical primary branches per plant, number of basal secondary branches per plant, number of apical secondary branches per plant and number of tertiary branches per plant), one flowering trait (days to fifty per cent flowering) and six yield related traits (days to maturity, number of pods per plant, number of seeds per pod, number of seeds per plant, hundred seed weight and single plant yield). Basic descriptive statistics showed normal distribution for six morphological traits. However significant and positive skewness were observed for plant width (1.15), number of apical primary branches per plant (1.68), number of basal secondary branches per plant (1.18), number of tertiary branches per plant (1.86), days to maturity (0.91), number of seeds per pod (0.78), number of seeds per plant (0.72) and hundred seed weight (1.48). ANOVA revealed that significant genotypic variation existed for most of the traits. Traits such as plant width (0.346), number of pods per plant (0.788), number of seeds per pod (0.055), number of seeds per plant (0.675) and hundred seed weight (0.477) exhibited significant positive correlation with single plant yield whereas a strong negative association was exhibited by days to fifty per cent flowering (-0.418) and days to maturity (-0.331). Correlation among component traits revealed a strong negative association of hundred seed weight with seeds per pod (-0.36). Path analysis specified that the highest positive direct effect on single plant yield was exerted by number of pods per plant (0.86) and hundred seed weight (0.589). Principal component analysis (PCA) revealed that the first five components with Eigen values more than one contributed to a maximum of 77.58 per cent of the variability. PC1 contributed 26.59 per cent of the total variation and the traits contributing to maximum variation in first component included plant width (0.712), number of pods per plant (0.692), number of seeds per plant (0.621), number of apical secondary branches per plant (0.54) and plant height (0.538). The Wards method of hierarchical cluster analysis grouped the accessions into two major clusters. Cluster I comprised of genotypes with high mean values for hundred seed weight (20.65) whereas cluster II, showed superior contribution for number of pods per plant (40.27), number of seeds per pod (1.06), number of seeds per plant (42.52) and single plant yield (6.88g). The grouping of chickpea germplasm based on various agro-morphological traits would be useful to identify the promising genotypes for effective utilization in future breeding programmes.

This paper investigates the role of democracy for predicting market crashes. A panel regression specification attempts to unravel the impact of democracy on the skewness of the American Depositary Receipts (ADRs). The analysis uses an approach that accounts for the effect of democracy on the manner financial market crashes are endogenously determined by market structures. The results provide strong supportive evidence that countries with stronger democratic regimes experience higher positive skewness in asset returns, indicating less likelihood of market crashes.

The decision to introduce options for stocks is made by exchanges with the intention of selecting stocks that will generate the most option trading activity. This study hypothesizes that exchanges will introduce options for stocks with positive skewness. The motivation for our tests is based on the idea that some investors have preferences for skewness and the payoff structure of options is conducive to these types of preferences. Results show that the likelihood of introducing options is increasing in the level of return skewness. We also find that stocks with the most pre-introduction skewness generate the most post-listing option volume. © 2017 Wiley Periodicals, Inc. Jrl Fut Mark

Summary Shipping freight rates are notoriously volatile and shipping investors are perceived to be risk loving. The paper explores the stochastic properties of freight rates in the shipping industry and derives the analytical equations for their moments in downside and upside markets by using a two-piece extension of the generalized error distribution. Pricing equations developed across shipping segments show how conditional risk and conditional skewness are priced along with their risk spillover effects. Results reveal the existence of a positive skewness premium, suggesting that shipping investors are willing to accept lower expected returns for the opportunity to earn high pay-offs in the future.

Se estimó la movilidad en once poblaciones de Puna, Valle Calchaquí y Valle de Lerma (Provincia de Salta) a partir de matrices de migración cónyuge-cónyuge, considerando las distancias entre los lugares de nacimiento de ambos. A partir de las distancias entre lugar de nacimiento y de residencia se estimó la migración diferencial por sexo en general, por zona geoestructural y por localidad. En general, los varones migran a mayores distancias que las mujeres. Para estimar patrilocalidad o matrilocalidad se consideraron las parejas con, al menos, un individuo local, tanto por zona como por localidad. En los Valles se observa un patrón de residencia matrilocal. Las tres zonas geoestructurales presentan una distribución asimétrica positiva, característica de poblaciones rurales endógamas. Del análisis de los resultados se desprende que, en las poblaciones estudiadas, el modelo de aislamiento por distancia no refleja la estructura marital de las mismas., Mobility was estimated in eleven populations of the Puna region, and the Calchaquí and Lerma Valleys (Salta) from marital migration matrices, considering the distances between birthplaces of the spouses. From distances between places of birth and of residence, differential migration by sex was estimated. In general, men migrate to greater distances than women. To estimate patri or matrilocality, couples with at least one local individual were considered, both by area and locality. A matrilocal residence pattern is observed in the valleys. The distribution of distances of the three regions showed a strong positive skewness, characteristic of inbred rural populations. In the studied populations, analysis of the results shows that the isolation-by-distance model does not reflect their marital structure., Asociación de Antropología Biológica de la República Argentina

In this work are reported the results of the indoor radon concentration obtained in a preliminary survey involving 30 schools located in some cities in the regions of Durres, Lezha, Shkoder and Kukes. The indoor radon concentrations are found to vary from 31 to 633 Bq m−3 with an arithmetic mean of 136 ± 113 Bq m−3. The statistical distribution of indoor radon concentrations (have a positive skewness of 3) showed a close to lognormal, with a geometrical mean of 111 +93-51 Bq m−3 (at 1 uncertainty calculated from the geometric standard deviation equal to 1.8). Considering the concentration to be representative of the year, the calculated annual effective dose rate was found to be 1.7 mSv y−1 for workers and 1.3 for public. However, the annual effective dose rate was found to be highly variable from 0.5 to 9.7 mSv y−1. Therefore, these results highlighted the necessity to increase the control in workplaces with high occupancy (like, schools, kindergartens and hospitals) to ensure protection against exposure to the public as well as to the staff working inside.

Substantially increased institutional investing and index trading in the U.S. stock market have a meaningful impact on the mechanical relationship between return co-movement and liquidity, which can be quantified by a power law function and explained by a liquidity supply model. Three well-documented asymmetries (asymmetric volume, asymmetry in non-market volatility, and positive skewness for individual stocks) are disappearing with increased basket trading, however, asymmetric correlation survives.

This paper investigates whether stocks outperform risk-free assets in the US and China in terms of buy-and-hold returns over different horizons. We find that stock returns underperform the one-month bank deposit rate in the Chinese market, consistent with the finding of Bessembinder (2018) that the returns to the majority of common stocks are less than one-month Treasuries. The paper explores the important role of positive skewness in the distribution of individual stock returns, attributable to skewness in monthly returns. These results further emphasize the importance of portfolio diversification in the Chinese market.

The interannual variability of salinity and associated ocean dynamics in the equatorial Indian Ocean is analyzed using observations and numerical simulations by the Estimating the Circulation and Climate of the Ocean (ECCO) model. The results show that salinity anomalies in the upper ocean are asymmetrically associated with the Indian Ocean dipole (IOD) events, with stronger response during their positive phases. Further investigations reveal that zonal currents along the equator, the Wyrtki jets, dominate the salinity transport. During the positive IOD events, the Wyrtki jets have stronger westward anomalies. The positive skewness of the IOD explains that the amplitude of the anomalous Wyrtki jets is stronger in the positive IOD events than that in the negative events.

The equivalence between partial moments and stochastic dominance dates back to Bawa [1] and Fishburn [2]. We present a test for first, second, and third degree stochastic dominance between two variables using Lower Partial Moments. The results uphold Hadar and Russell’s [3] original conclusions about the odd moments of preferred prospects. We recall Nawrocki’s [4] research comparing Mean/Variance portfolios against the continuum of risk-averse investors using Lower Partial Moments. The excess skewness of the LPM portfolios clearly demonstrates the preference of positive skewness for risk-averse investors. Finally, we provide an algorithm for efficiently determining stochastic dominance efficient sets among large numbers of variables.

We develop a new protocol to elicit preferences over gambles that contain large, asymmetric, low-probability outcomes. Subjects first select their preferred choice from a set of zero-skewness gambles, providing a measure of their preferences for risk as standard deviation. The new lottery choices have the same expected payoffs and standard deviation as the original set of choices, but with positive skewness. We find that subjects are skewness-seekers and more importantly, positive skewness in the payoff structure increases the riskiness of subjects’ preferred lottery choices. We conclude that skewed, long-shot payoffs entice decision makers to higher levels of risk taking.

Background Accurate measurement of treatment-related change is a key part of psychotherapy research and the investigation of treatment efficacy. For this reason, the ability to measure change with accurate and valid methods is critical for psychotherapy. Objective The aims of this study were to (1) explore the underlying characteristics of depressive symptom change, measured with the nine-item Patient Health Questionnaire (PHQ-9), following psychotherapy, and (2) compare the suitability of different ways to measure and interpret symptom change. A treatment sample of Web-based psychotherapy participants (n=1098) and a waitlist sample (n=96) were used to (1) explore the statistical characteristics of depressive symptom change, and (2) compare the suitability of two common types of change functions: linear and proportional change. Methods These objectives were explored using hypotheses that tested (1) the relationship between baseline symptoms and the rate of change, (2) the shape of symptom score distribution following treatment, and (3) measurement error associated with linear and proportional measurement models. Results Findings demonstrated that (1) individuals with severe depressive baseline symptoms had greater reductions in symptom scores than individuals with mild baseline symptoms (11.4 vs 3.7); however, as a percentage measurement, change remained similar across individuals with mild, moderate, or severe baseline symptoms (50%-55%); (2) positive skewness was observed in PHQ-9 score distributions following treatment; and (3) models that measured symptom change as a proportional function resulted in greater model fit and reduced measurement error ( Conclusions This study suggests that symptom scales, sharing an implicit feature of score bounding, are associated with a proportional function of change. Selecting statistics that overlook this proportional change (eg, Cohen d) is problematic and leads to (1) artificially increased estimates of change with higher baseline symptoms, (2) increased measurement error, and (3) confounded estimates of treatment efficacy and clinical change. Implications, limitations, and idiosyncrasies from these results are discussed.

Research into home energy retrofit is important because most existing homes will operate in 2050. A lack of funding or incentives often prevents home energy retrofit, particularly of social housing. This study analysed retrofitted Irish social housing and their gas meter data, including pre-payment meters that require regular “top-ups” purchased from shops. The data comprised records from 100 retrofit and control group homes throughout 2013–2015. A novel evaluation of retrofitted rented homes processed meter data into multiple metrics. Gas consumption is computed per house and weather correction is incorporated, enabling statistical testing of the retrofit. A “difference in difference” technique compared the retrofit and control groups. Gas consumptions of the most popular building type are plotted as distribution curves before and after retrofit. Subsequently the energy use intensity (kWh/m2/year) is computed per home; leading to calculation of the prebound effect. In social housing, the prebound effect quantifies energy underconsumption due to self-rationing. Retrofit significantly reduced gas consumption, and reduced its variance among homes. A small positive skewness in the statistical distribution of home gas consumption prevented characterisation as a normal distribution. The prebound effect is high, but alleviated by the retrofit. Finally, retrofit extended average pre-payment intervals. Science Foundation Ireland

High rainfall variation creates problems of floods and droughts in any region of the world. This study focuses on spatial rainfall variability and drought assessment in Khyber Pakhtunkhwa province of Pakistan using Standardized Precipitation Index (SPI). Various indices like standard deviation, skewness, and kurtosis were calculated from annual rainfall of 15 meteorological stations during period of 1971–2015. Mann-Kendall technique was applied to both 1-month and 12-month SPIs for trend detection. All stations showed a positive skewness except Balakot. The highest variability was found in Parachinar and Balakot. The results of 12-month SPI showed two distinct dry periods, i.e., 1984 to 1989 and 1998 to 2002. Mann-Kendall trend test for 1-month SPI reveals more significant positive trend in Parachinar and there was variation in the results of other met-stations. In almost all the met-stations, December was found the driest month as the p values were found negative except in Parachinar. Additionally, the result of 12-month SPI indicated more significant positive trend in Parachinar, whereas more significant negative trend in Balakot met-stations has been recorded.

We examine liquidity skewness by providing an analysis of bid-ask spreads for a comprehensive high-frequency dataset comprising Eurozone countries’ sovereign bonds. European sovereign bond markets exhibited increasing positive skewness over the sample period which was most extreme for Greece, Ireland and Portugal. We argue that positive skewness reflects decreased liquidity during volatile periods. We also report negative skewness in 2007. This can be explained by a feature of the limit-order book rubric of the MTS market where market-makers can submit limit-orders that are more competitive than the current best-price to reduce unwanted inventory without having to execute a market-order.

We derive new approximations for the Value at Risk and the Expected Shortfall at high levels of loss distributions with positive skewness and excess kurtosis, and we describe their precisions for notable ones such as for exponential, Pareto type I, lognormal and compound (Poisson) distributions. Our approximations are motivated by that kind of extensions of the so-called Normal Power Approximation, used for approximating the cumulative distribution function of a random variable, which incorporate not only the skewness but the kurtosis of the random variable in question as well. We show the performance of our approximations in numerical examples and we also give comparisons with some known ones in the literature., Comment: 30 pages, 11 figures

Corporate insider trades predict idiosyncratic return skewness. CEO purchases are followed by an increase and CEO sales by a decrease in idiosyncratic skewness. The evidence suggests that this effect is driven by personal preferences rather than behavioral biases such as overconfidence. Our findings are consistent with the interpretation that CEOs, who are generally considered to be underdiversified, optimize their holdings by taking a preference for positive skewness into account. We observe particularly robust results for CEO sales, which substantiates the less common notion that insider sales can be informative for investors.

This paper presents an alternative analysis approach to modeling data where a lower detection limit (LOD) and unobserved population heterogeneity exist in a longitudinal data set. Longitudinal data on viral loads in HIV/AIDS studies, for instance, show strong positive skewness and left-censoring. Normalizing such data using a logarithmic transformation seems to be unsuccessful. An alternative to such a transformation is to use a finite mixture model which is suitable for analyzing data which have skewed or multi-modal distributions. There is little work done to simultaneously take into account these features of longitudinal data. This paper develops a growth mixture Tobit model that deals with a LOD and heterogeneity among growth trajectories. The proposed methods are illustrated using simulated and real data from an AIDS clinical study.

In this study, I implement a novel methodology to extract crash risk premia from options and stock markets. I document a dramatic increase in crash risk premia after the 2008/2009 financial crisis, indicating that investors are willing to pay high insurance to hedge against crashes in individual stocks. My results apply to all sectors but are most pronounced for the financial sector. At the same time, crash risk premia on the market index remained at pre-crisis levels. I theoretically explain this puzzling feature in an economy where investors face short-sale constraints. Under short-sale constraints, prices are less informationally efficient which can explain the increase in downside risk in individual stocks. In the data, I document a strong link between proxies of short-sale constraints and crash risk premia.

We propose a test of Barberis and Huang’s (2008) theory of skewness preferences. The probability weighting feature that is the basis of their theory relies on investors overweighting the probability of tail events. The resulting investor preferences for positive skewness in return distributions will lead to excess demand, contemporaneous price premiums, and negative expected returns. We use the well-documented 52-week high bias as a method to truncate the probability of expected right-tail events. We find evidence supporting the Barberis and Huang theory as the negative return premia associated with positive skewness are driven almost entirely by stocks that are farther away from the their 52-week high .

Most common stocks do not outperform Treasury Bills. Fifty eight percent of common stocks have holding period returns less than those on one-month Treasuries over their full lifetimes on CRSP. When stated in terms of lifetime dollar wealth creation, the entire gain in the U.S. stock market since 1926 is attributable to the best-performing four percent of listed stocks. These results highlight the important role of positive skewness in the cross-sectional distribution of stock returns. The skewness in long-horizon returns reflects both that monthly returns are positively skewed and the fact that compounding returns over multiple periods itself induces positive skewness. The results also help to explain why active strategies, which tend to be poorly diversified, most often underperform.

This paper studies the characteristics of snow cover variations for the Tibetan Plateau (TP) region (25°-45°N, 65°-105°E). The TP region’s daily snow cover data are a subset of the Interactive Multisensor Snow and Ice Mapping System (IMS) 24 km-by-24 km snow cover dataset for the entire Northern Hemisphere. A database of the daily snow cover for the TP region was developed from February 4, 1997–March 15, 2012. Thus, an animation of the TP snow cover was made as a data product of this research. The maximum percentage snow cover (67 %) occurred on February 6, 2008 and the minimum (0.5 %) on September 1, 2009. The average snow cover is 16 %. The seasonal cycle of the monthly TP snow cover reaches maximum in January (about 37 %) and minimum in August (2 %). The trend of the snow cover reduction is 4.0 % per decade, with a total reduction of 5.7 % from February 4, 1997 to March 15, 2012. The Hilbert–Huang Transform and Fourier spectral analyses indicate the existence of a cycle of TP snow cover having a period of 2–3 years. The histogram and higher statistics moment analyses imply that the positive skewness favors more spring snowstorms than spring droughts and the sharp peakedness at the climatology indicates the snow cover predictability by climate normals.

Accurate modeling of skewness is needed to increase the actuarial fairness of crop insurance. We test Day's conjecture that crop yield skewness becomes negative as nitrogen rates increase and determine how well a linear response stochastic plateau (LRSP) production function matches the pattern of observed skewness using four long-term nitrogen experiments. Stillwater wheat is consistent with Day's conjecture, but the skewness for Lahoma and Altus wheat yields as well as Altus cotton yields are not. The LRSP assumes normal random effects and can explain only a small part of observed skewness, so a new LRSP with skew-normal random effects is introduced, which comes closer to explaining the observed skewness and should increase the accuracy of nitrogen rate recommendations. Negative skewness reduced optimal nitrogen rates and positive skewness increased optimal nitrogen rates.

Previous studies have shown that investor preference for positive skewness creates a potential premium on negatively skewed assets. In this paper, we attempt to explore the connection between investors&rsquo, skewness preferences and corresponding demand for a risk premium on asset returns. Using data from the Japanese stock market, we empirically study the significance of risk aversion with skewness preference that potentially delivers a premium. Compared to studies on other stock markets, our finding suggests that Japanese investors exhibit preference for positively skewed assets, but do not display dislike for ones that are negatively skewed. This implies that investors from different countries having dissimilar attitudes toward risk may possess different preferences toward positive skewness, which would result in a different magnitude of expected risk premium on negatively skewed assets.

We examine the distribution characteristics of stock market liquidity by employing the generalized additive models for location, scale and shape (GAMLSS) model and three-minute frequency data from Chinese stock markets. We find that the BCPE distribution within the GAMLSS framework fits the distributions of stock market liquidity well with the diagnosis test. We also find that the stock market index exhibits a significant impact on the distributions of stock market liquidity. The stock market liquidity usually exhibits a positive skewness, but a normal distribution at a low level of stock market index and a high-peak and fat-tail shape at a high level of stock market index.