L‐moments skewness and kurtosis as measures of regional convergence and cohesion

The paper deals with the statistical modeling of convergence and cohesion over time with the use of kurtosis, skewness and L‐moments. Changes in the shape of the distribution related to the spatial allocation of socio‐economic phenomena are considered as an evidence of global shift, divergence or convergence. Cross‐sectional time‐series statistical modeling of variables of interest is to overpass the minors of econometric theoretical models of convergence and cohesion determinants. L‐moments perform much more stable and interpretable than classical measures. Empirical evidence of panel data proves that one pure pattern (global shift, polarization or cohesion) rarely exists and joint analysis is required.     

Liquidity skewness premium

Risk-averse investors may dislike decrease of liquidity rather than increase of liquidity, and thus there can be asymmetric preference in variation of liquidity. In addition, investors are likely to avoid extreme illiquidity. This paper examines whether the skewness of an individual firm’s liquidity capturing asymmetric distribution of liquidity and extreme illiquidity is priced in the US stock market. Using the skewness of the daily price impact, we find that it is positively priced, and this positive relation is significant up to eight months after controlling for other effects. Moreover, we find our results remain significant with the skewness of alternative liquidity measures, i.e., dollar-volume, and turnover.     

Portfolio selection with a systematic skewness constraint

This paper investigates portfolio selection within a mean-variance-systematic skewness framework. We derive the composition of efficient portfolios in our model, and analyze the properties of these efficient portfolios. We show that the required systematic skewness is achieved at the expense of traditional mean-variance efficiency, and that a more stringent systematic skewness constraint induces a greater loss in mean-variance efficiency. Our numerical analysis demonstrates that the presence of the systematic skewness constraint helps improve the skewness of efficient portfolios in our model over the skewness of traditional efficient portfolios.     

A simple measure of skewness

Groeneveld (1986) in discussing the skewness for the Weibull family has pointed out the shortcomings of the classical measures of asymmetry—the standardized third moment and the Pearson measure of skewness. He has shown that a modified form of the Pearson measure b₃= (μ-m)/E|X-m| portrays the skewness of Weibull family quite well. We give another competitive measure of skewness T that is easy to interpret and is based on conditional expectations. The proposed measure satisfies the desirable properties of a skewness measure.     

Characterizing systems of distributions by quantile measures

Modelling an empirical distribution by means of a simple theoretical distribution is an interesting issue in applied statistics. A reasonable first step in this modelling process is to demand that measures for location, dispersion, skewness and kurtosis for the two distributions coincide. Up to now, the four measures used hereby were based on moments.
In this paper measures are considered which are based on quantiles. Of course, the four values of these quantile measures do not uniquely determine the modelling distribution. They do, however, within specific systems of distributions, like Pearson's or Johnson's; they share this property with the four moment-based measures.
This opens the possibility of modelling an empirical distribution—within a specific system—by means of quantile measures. Since moment-based measures are sensitive to outliers, this approach may lead to a better fit. Further, tests of fit—e.g. a test for normality—may be constructed based on quantile measures. In view of the robustness property, these tests may achieve higher power than the classical moment-based tests.
For both applications the limiting joint distribution of quantile measures will be needed; they are derived here as well.     

Does conditional market skewness resolve the puzzling market risk-return relationship?

In this paper, we employ instrumental variables methods that allow time-varying risk and reward-to-risk to test various conditional asset pricing models. We find a negative partial relation between the market excess return and conditional market variance. In contrast with recent findings, we show that this negative relationship is not due to the omission of the hedge term associated with the ICAPM. However, conditional market skewness seems to partly account for this negative risk-return relationship.     

Modelling conditional skewness: Heterogeneous beliefs,short sale restrictions and market declines

This paper tests the relationship among heterogeneous beliefs, short sale restrictions and time-varying conditional skewness under different market conditions. The results show that heterogeneous beliefs and short sale restrictions have negative impacts on conditional skewness during periods of market decline but have negative, positive or no impacts during periods of market growth. This evidence reconciles conflicting evidence in recent empirical studies on the relationship among heterogeneous beliefs, short sale restrictions and conditional skewness.     

Time-varying variance and skewness in realized volatility measures

We propose new empirical models to capture the dynamics of the variance and skewness in realized volatility measures. We find that time-variation in variance and skewness of realized measures is a key empirical feature, even after accounting for well-known, stylized facts such as long-memory-type persistence and large incidental observations. Using a broad range of 89 US stocks across different sectors over 2001–2019, we show that these are not incidental phenomena of a few stocks but are widely shared. Accounting for dynamics in the variance and skewness of realized measures results in significantly better in-sample fit and out-of-sample unconditional density and quantile forecasts.     

Risk-neutral skewness and market returns: The role of institutional investor sentiment in the futures market

This paper investigates the effect of index risk-neutral skewness on subsequent market returns and explores whether this effect will vary with various types of institutional investor sentiment in the futures market. Using index futures returns as the proxy of market returns, the empirical results show that the index risk-neutral skewness has a significantly negative effect on subsequent index futures returns. Moreover, the effect of institutional investor sentiment on subsequent index futures returns varies with various types of institutional investor sentiment. Finally, the effect of index risk-neutral skewness on subsequent index futures returns relies on various types of institutional investor sentiment.     

Distributions slanted to the right

We solve Problem 234 in Statistica Neerlandica by introducing the concept of slantedness. Distributions with a decreasing Lebesgue density are slanted to the right. This is no longer true for distributions on a lattice with decreasing density. Both kinds of distributions have positive central odd moments.     

企业负债经营探讨

随着市场经济的发展,企业财务理念也在不断转变,企业筹资的方法也不断在改进。通过分析企业负债经营的积极作用和消极作用,对企业负债经营作了比较理论的分析,从负债经营的定义理解出发并对其应用效果进行了论述。     

企业负债管理与投资价值研究

文章从投资者的投资决策角度出发,在现有评价负债利用效应指标的基础上构建了3个财务指标综合反映企业负债管理状况。同时,为了验证指标对投资决策效用,使用指标对样本企业的负债使用效应进行分析,结果表明指标能够全面反映企业不同性质的负债对股东收益产生的影响效果,并能为投资者进行投资决策提供有效的决策工具。     

Autoregresive conditional volatility, skewness and kurtosis

This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. The model is estimated assuming a Gram–Charlier (GC) series expansion of the normal density function for the error term, which is easier to estimate than the non-central t distribution proposed by [Harvey, C. R. & Siddique, A. (1999). Autorregresive Conditional Skewness. Journal of Financial and Quantitative Analysis 34, 465–487). Moreover, this approach accounts for time-varying skewness and kurtosis while the approach by Harvey and Siddique [Harvey, C. R. & Siddique, A. (1999). Autorregresive Conditional Skewness. Journal of Financial and Quantitative Analysis 34, 465–487] only accounts for non-normal skewness. We apply this method to daily returns of a variety of stock indices and exchange rates. Our results indicate a significant presence of conditional skewness and kurtosis. It is also found that specifications allowing for time-varying skewness and kurtosis outperform specifications with constant third and fourth moments.     

Some characterization theorems for generalized measures of uncertainty and information

Summary Some characterization theorems are given for the various generalized measures of information and uncertainty by using two types of functional inequalities. This paper unifies several existing results on the various measures of information and some special cases of interest are mentioned at appropriate places.The work of this paper was done while the author was a visiting postdoctoral fellow with the University of Waterloo. This paper was presented at the Meeting on Information Measures held at the University of Waterloo, Waterloo, Ontario, Canada from April 10–14, 1970.     

Robust Likelihood Methods Based on the Skew-t and Related Distributions

The robustness problem is tackled by adopting a parametric class of distributions flexible enough to match the behaviour of the observed data. In a variety of practical cases, one reasonable option is to consider distributions which include parameters to regulate their skewness and kurtosis. As a specific representative of this approach, the skew‐t distribution is explored in more detail and reasons are given to adopt this option as a sensible general‐purpose compromise between robustness and simplicity, both of treatment and of interpretation of the outcome. Some theoretical arguments, outcomes of a few simulation experiments and various wide‐ranging examples with real data are provided in support of the claim.     

数字电路对三相交流异步电动机控制的研究

介绍了利用了数字电路实现了对三相异步电动机的间隔循环运转和正反运行的控制,详细分析了其工作原理。该控制电路设计合理,线路简单,工作可靠,具有实用意义。     

电气控制线路实验常见故障分析

自锁、正反转和顺序等电气控制线路是组成电气控制设备的基本环节,本文主要从学生在这三个实验过程中常见的故障现象入手,分析、排除故障,从而使学生掌握电气控制线路的基本环节,同时对生产机械整个电气控制线路的工作原理分析及维修奠定良好的基础。     

情绪与亲社会行为关系的研究综述

本文首先从概念和理论的角度解释了亲社会和情绪;其次,针对当前的研究现状将情绪分为积极情绪和消极情绪来阐述情绪对亲社会行为的影响;最后,针对情绪与亲社会行为关系的研究现状进行了一定的评述和展望。     

体育教学中激发学生情绪的途径

情绪是一种心理活动,是人们对认识事物所抱态度的体验,是对客观事物的一种特殊反映形式。教师在体育课教学中必须加强对学生的心理调整,控制学生在课中的情绪变化,要善于激发学生的积极情绪,防止消极情绪,以提高教学质量和教学效果,确保教学任务的顺利完成。本文就如何激发学生在体育课中的情绪,提出相应的观点,以供鉴借。