0599186 20241021105845.620241009235959.9 85204884041 001328804700001 10.1016/j.irfa.2024.103573 12 s. P cav_un_epca*03670441057-521996Elsevier Higher moments Transitory Persistent Cross-section of returns cav_un_auth*0242028 Baruník Jozef UTIA-B Ekonometrie Department of Econometrics E E Department of Econometrics CZ Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0473981 Kurka Josef UTIA-B Ekonometrie Department of Econometrics E E CZ Ústav teorie informace a automatizace AV ČR, v. v. i. https://library.utia.cas.cz/separaty/2024/E/barunik-0599186.pdf https://www.sciencedirect.com/science/article/pii/S1057521924005052?via%3Dihub GX19-28231X GA ČR CZ cav_un_auth*0385135 Using intraday data for the cross-section of individual stocks, we show that both transitory and persistent fluctuations in realized market and average idiosyncratic volatility, skewness and kurtosis are differentially priced in the cross-section of asset returns, implying a heterogeneous persistence structure of different sources of higher moment risks. In particular, we find that both idiosyncratic transitory shocks to volatility and idiosyncratic persistent shocks to skewness share strong commonalities that are relevant to investors. WOS AH 50000 50200 50202 2025 2 RVO:67985556 https://hdl.handle.net/11104/0357044 S 103573 C BUSINESS.FINANCE 9.8 1.6 2.9 0.01839 1.572 19032 110 2.288 65.36 10.52 11773 Q1 8.600 731 Q1 99.4 2.56 Q1 99.4 2024 85204884041 SCOPUS PUBMED 001328804700001 WOS cav_un_epca*0367044 International Review of Financial Analysis Roč. 96 Part A 2024 1057-5219 1873-8079 Elsevier