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

Reference

Stöckl, S., & Kaiser, L. (2021). Higher Moments Matter! Cross-sectional (higher) Moments and the Predictability of Stock Returns. Review of Financial Economics, 39(4), 455-481.

Publication Type

Article in Scientific Journal

Staff Members

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

Participating Institutions

Chair in Business Administration, Banking and Financial Management Chair in Finance Institute for Finance Financial Economics

Research

Measures of cross-sectional dispersion in international stock returns
Internal Project
June 2015 until June 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 ... More

DOI

https://dx.doi.org/10.1002/rfe.1121