Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns?
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From … and the Cross-Section of Expected Returns (2016) · cites this paper as [12]
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… and the Cross-Section of Expected Returns
Harvey, C. R., Liu, Y., & Zhu, H. (2016) · Review of Financial Studies · doi:10.1093/rfs/hhv059 · Cited by 2,119 · see citing works
- Authors
- Amaya, D., Christoffersen, P., Jacobs, K., & Vasquez, A.
- Affiliations
- Wilfrid Laurier University (CA)
- Copenhagen Business School (DK)
- University of Houston (US)
- Instituto Tecnológico Autónomo de México (MX)
- Corresponding author
- Vasquez, Aurelio
- Venue
- SSRN Electronic Journal
- Publisher
- Elsevier BV
- Published
- 2011
- ISSN
- 1556-5068 (ISSN-L)
- OpenAlex
- W1550962900
- Cited by
- 28
- References
- 18
- Citations by year
- 2021: 1 · 2019: 1 · 2018: 1 · 2017: 2 · 2016: 3 · 2015: 6 · 2014: 7 · 2013: 4 · 2012: 2
- Type
- posted content
- Language
- en
- Open access
- green
- doi.org
- Locations
- SSRN Electronic Journal (publishedVersion)
- Topics
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Markets and Investment Strategies
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Risk and Volatility Modeling
- Social Sciences › Economics, Econometrics and Finance › Finance › Stochastic processes and financial applications
- Keywords
- realized skewness, realized volatility, cross-section of stock returns, intraday data, return predictability, trading strategies, Fama-French factors
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