Are Idiosyncratic Skewness and Idiosyncratic Kurtosis Priced?

This thesis investigates the pricing effects of idiosyncratic moments. We document that idiosyncratic moments, namely idiosyncratic skewness and idiosyncratic kurtosis vary over time. If a factor/characteristic is priced, it must show minimum variation to be correlated with stock returns. Moreover, we can identify two structural breaks in the time series of idiosyncratic kurtosis. Using a sample of US stocks traded on NYSE, AMEX and NASDAQ markets from January 1970 to December 2013, we run Fama-MacBeth test at the individual stock level. We document a negative and significant pricing effect of idiosyncratic skewness, consistent with the finding of Boyer et al. (2010). We also report that neither idiosyncratic volatility nor idiosyncratic kurtosis are consistently priced. We run robustness tests using different model specifications and period sub-samples. Our results are robust to the different factors and characteristics usually included in the Fama-MacBeth pricing tests. We also split first our sample using endogenously determined structural breaks. Second, we divide our sample into three equal sub-periods. The results are consistent with our main findings suggesting that expected returns of individual stocks are explained by idiosyncratic skewness. Both idiosyncratic volatility and idiosyncratic kurtosis are irrelevant to asset prices at the individual stock level. As an alternative method, we run Fama-MacBeth tests at the portfolio level. We find that idiosyncratic skewness is not significantly related to returns on idiosyncratic skewness-sorted portfolios. However, it is significant when tested against idiosyncratic kurtosis sorted portfolios.

Are Idiosyncratic Skewness and Idiosyncratic Kurtosis Priced?

This thesis investigates the pricing effects of idiosyncratic moments. We document that idiosyncratic moments, namely idiosyncratic skewness and idiosyncratic kurtosis vary over time. If a factor/characteristic is priced, it must show minimum variation to be correlated with stock returns. Moreover, we can identify two structural breaks in the time series of idiosyncratic kurtosis. Using a sample of US stocks traded on NYSE, AMEX and NASDAQ markets from January 1970 to December 2013, we run Fama-MacBeth test at the individual stock level. We document a negative and significant pricing effect of idiosyncratic skewness, consistent with the finding of Boyer et al. (2010). We also report that neither idiosyncratic volatility nor idiosyncratic kurtosis are consistently priced. We run robustness tests using different model specifications and period sub-samples. Our results are robust to the different factors and characteristics usually included in the Fama-MacBeth pricing tests. We also split first our sample using endogenously determined structural breaks. Second, we divide our sample into three equal sub-periods. The results are consistent with our main findings suggesting that expected returns of individual stocks are explained by idiosyncratic skewness. Both idiosyncratic volatility and idiosyncratic kurtosis are irrelevant to asset prices at the individual stock level. As an alternative method, we run Fama-MacBeth tests at the portfolio level. We find that idiosyncratic skewness is not significantly related to returns on idiosyncratic skewness-sorted portfolios. However, it is significant when tested against idiosyncratic kurtosis sorted portfolios.

A Phenomenologically Sensitized Analysis of Images Depicting Stressed Embodiment in an Adolescent Male with Autism Spectrum Disorder (ASD)

Each person with Autism Spectrum Disorder (ASD) comes with unique characteristics (idiosyncratic) that give clues to the world they know (Connolly, 2008). It is through their body that they (a) know the world they are experiencing, (b) make meaning, and (c) express certain behaviours. I used Laban’s Movement Analysis (LMA) to practice an attuned and appreciative approach to describing and understanding the body movement in one severe manifestation of autism in an adolescent male. LMA observes human movement across many disciplines and can be applied in many contexts providing a body honoring discourse for description (Connolly, 2008). The framework examines movement in body, space, quality, and relation. Each theme provides a detailed description of the individual’s movement, thus, giving us a richer understanding of patterns and possible triggers to self-injurious behaviours (SIB). During the summer of August 2013, I participated in Brock University’s annual Autism Camp and worked with a 15 year old male named “Aaron” who manifests with low functioning autism. The purpose of my research project was to code and analyze a series of photos taken to help gain insight into movement patterns associated with stressed embodiment and self-injury in “Aaron”. As I understood more about these embodied expressions, I uncovered valuable information on how to read patterns and discover what triggers these events, thus providing strategies on how to help people do more refined observations and make meaning of the behaviour. Laban’s movement analysis provided a sensitized discourse appropriate to the embodied expressions depicted in the photos.