Frontaler Blick auf das D4 Gebäude.

Brown Bag Seminar - Valentin Luz, LMU Munich

09/04/2025

We are pleased to announce the upcoming Brown Bag Seminar on May 07, 2025.

Our speaker will be Valentin Luz (LMU Munich).

He will give a talk on "Ambiguity and the Skewness Premium” (joint with Ralf Elsas and Johannes Gerd Jaspersen).

Abstract: Assets are priced according to the preferences of investors. Our theoretical model shows that ambiguity - that is the uncertainty about stock returns’ probability distribution - affects investors' preferences for the skewness of stock returns. In a CAPM equilibrium, skewness premiums increase when stock returns become more ambiguous. We test this interaction empirically and find evidence for it both cross-sectionally and when considering within-firm variation. Our findings hold for both skewness in historical stock returns and expected risk-neutral skewness calculated from option prices. They cannot be explained by limits to arbitrage, news tangibility, or investor belief heterogeneity. 

The talk will take place on May 07, 2025 at 12:00 pm in room TC.4.03.

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