Frontaler Blick auf das D4 Gebäude.

Summer Term 2025

  • May 28, 2025 / tba / TC.4.03
    Marti Subrahmanyam (New York University)

    Title & abstract: tba
     

  • May 7, 2025 / 12:00 p.m. - 01:00 p.m. / TC.4.03
    Valentin Luz (LMU Munich)
    “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.