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

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Reference

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).

Publication type

Presentation at Conference

Research

Measures of cross-sectional dispersion in international stock returns
internes Projekt, June 2015 until June 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 ... more ...

Persons

Organizational Units

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