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Stöckl et al., 2021 - Google Patents

Higher moments matter! Cross‐sectional (higher) moments and the predictability of stock returns

Stöckl et al., 2021

Document ID
18292065139491315662
Author
Stöckl S
Kaiser L
Publication year
Publication venue
Review of Financial Economics

External Links

Snippet

In this paper, we investigate the predictive power of signals imputed from the cross‐section of stock returns—namely cross‐sectional volatility, skewness, and kurtosis—to forecast the time series. Adding to the existing literature, which documents cross‐sectional volatility to …
Continue reading at onlinelibrary.wiley.com (other versions)

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