Higher moments matter! Crossâsectional (higher) moments and the predictability of stock returns
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DOI: 10.1002/rfe.1121
Abstract: In this paper we investigate the predictive power of cross-sectional volatility, skewness and kurtosis for future stock returns. Adding to the work of Maio (2015), who finds cross-sectional volatility to forecast a decline in the… read more here.
Keywords: skewness; cross sectional; higher moments; sectional volatility ... See more keywords