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Seminar: Skewness and the Relation between Risk and Return

School of Business & Management
Research Seminar Series

“Skewness and the Relation between Risk and Return”

Tuesday 10th  December 2013, 13:00 – 14:00 in Room XXXX

Dr Christos Savva
Assistant Professor of Econometrics, Cyprus University of Technology

Abstract:
The empirical literature examining the relation between expected returns and risk premium is voluminous and the results so far have been inconclusive. In this study we acknowledge that investors operate under a Mean-Variance framework where skewness and kurtosis are not relevant parameters in asset pricing models. However, in the estimation process skewness and kurtosis in the data contaminate this relation. Using a general framework that accounts for these effects, the results show a positive and statistically significant relation between risk and return. However, in case the effects of skewness are ignored in model specification, this relation usually turns insignificant with mixed signs.

Biography:
Christos completed his undergraduate studies in Economics at the University of Athens and received his MSc (2003) and PhD (2006) from the University of Manchester. He is an assistant professor at the Cyprus University of Technology. He has published in various international refereed journals.

Please register your participation with Maria Thoma Georgiou at: info@uclancyprus.ac.cy