Does realized skewness predict the cross-section of equity returns?
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DOI: 10.1016/j.jfineco.2015.02.009
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- Diego Amaya & Peter Christoffersen & Kris Jacobs & Aurelio Vasquez, 2013. "Does Realized Skewness Predict the Cross-Section of Equity Returns?," CREATES Research Papers 2013-41, Department of Economics and Business Economics, Aarhus University.
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More about this item
Keywords
Realized volatility; Skewness; Kurtosis; Equity markets; Cross-section of stock returns;All these keywords.
JEL classification:
- 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
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