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

zurück zur Übersicht

Referenz

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

Publikationsart

Präsentation auf Konferenz

Forschung

Measures of cross-sectional dispersion in international stock returns
internes Projekt, Juni 2015 bis Juni 2018

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 ... mehr

Mitarbeiter

Einrichtungen

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