Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns?
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- Jia Li & Andrew J. Patton, 2013. "Asymptotic Inference about Predictive Accuracy Using High Frequency Data," Working Papers 13-27, Duke University, Department of Economics.
- Campbell R. Harvey & Yan Liu & Heqing Zhu, 2014. ". . . and the Cross-Section of Expected Returns," NBER Working Papers 20592, National Bureau of Economic Research, Inc.
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KeywordsRealized volatility; skewness; kurtosis; equity markets; return prediction.;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-12-19 (All new papers)
- NEP-CFN-2011-12-19 (Corporate Finance)
- NEP-FOR-2011-12-19 (Forecasting)
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