Junior and Senior University Researchers with fixed-term contract (RTD) - Mathematical Methods for Economy, Finance and Actuarial Sciences (Prof. Weissensteiner Alex)

Call

Vice Rector's Decree n. 854/2025 of 23.06.2025

Call(pdf)

Online application (link)

Website of the procedure (link)

Project

Empirical Asset Pricing with skewness of asset returns and under parameter uncertainty

Deadline for sending applications and publications

Within 30 days from the day following the publication of this public announcement in “Gazzetta Ufficiale della Repubblica”

Number applications

2

Description of the research activity:

As shown in different theoretical and empirical studies, investors have a preference for positive skewed asset returns. This preference is reflected in asset prices, leading to an inverse relationship between returns and skewness. Recently option prices (implied volatilities) are used to estimated future, i.e. forward-looking, skewness. Different skewness measures are used to make asset pricing predictions, and we investigate if there is a relationship between skewness of a company and it's ESG score. The measurement of future (forward-looking) skewness of corporate returns (also related to ecological risks) enables a conscious management of corporate financial risk - demanded both by stakeholders in general and also by policy makers (e.g. the new supervisory expectations on climate and environmental risks of the Bank of Italy).