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Robust Conditional Kurtosis and the Cross-Section of International Stock Returns

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  • Ruifeng Liu
  • Alex Maynard
  • Ilias Tsiakas

Abstract

We introduce robust kurtosis, which is a new quantile-based measure for the kurtosis of stock returns. For approximately normal distributions, robust kurtosis is equivalent to the traditional moment-based kurtosis. For fat-tailed distributions, when kurtosis matters the most, robust kurtosis provides a distinct and reliable measure. Using a cross-section of international stock index returns, we find that robust kurtosis carries a significant negative premium: higher robust kurtosis is related to lower future stock returns. This contrasts with the positive premium associated with robust skewness identified in previous research.

Suggested Citation

  • Ruifeng Liu & Alex Maynard & Ilias Tsiakas, 2026. "Robust Conditional Kurtosis and the Cross-Section of International Stock Returns," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 44(2), pages 718-730, April.
    • Handle: RePEc:taf:jnlbes:v:44:y:2026:i:2:p:718-730
    DOI: 10.1080/07350015.2025.2551244
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