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Higher Moments Matter! Cross-Sectional (Higher) Moments and the Predictability of Stock Returns

Referenz

Stöckl, S., & Kaiser, L. (2017). Higher Moments Matter! Cross-Sectional (Higher) Moments and the Predictability of Stock Returns. Presented at the SGF Conference 2017, Zurich, Switzerland.

Publication Type

Präsentation auf wissenschaftlicher Konferenz

Staff Members

Dr. Lars Kaiser Assoz. Prof. Dr. Sebastian Stöckl

Participating Institutions

Lehrstuhl für Betriebswirtschaftslehre, Bank- und Finanzmanagement Lehrstuhl für Finance Institut für Finance Finanzökonomie

Research

Measures of cross-sectional dispersion in international stock returns
internes Projekt
Juni 2015 until Juni 2018 (finished)
Time-series volatility is a long standing and well established measure of risk for both individual stocks and the market as such. However, the fact that volatility is time variant is not the sole set ... Weitere