| bibtype |
J -
Journal Article
|
| ARLID |
0599186 |
| utime |
20241021105845.6 |
| mtime |
20241009235959.9 |
| SCOPUS |
85204884041 |
| WOS |
001328804700001 |
| DOI |
10.1016/j.irfa.2024.103573 |
| title
(primary) (eng) |
Risks of heterogeneously persistent higher moments |
| specification |
| page_count |
12 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0367044 |
| ISSN |
1057-5219 |
| title
|
International Review of Financial Analysis |
| volume_id |
96 |
| publisher |
|
|
| keyword |
Higher moments |
| keyword |
Transitory |
| keyword |
Persistent |
| keyword |
Cross-section of returns |
| author
(primary) |
| ARLID |
cav_un_auth*0242028 |
| name1 |
Baruník |
| name2 |
Jozef |
| institution |
UTIA-B |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| full_dept |
Department of Econometrics |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0473981 |
| name1 |
Kurka |
| name2 |
Josef |
| institution |
UTIA-B |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| source |
|
| cas_special |
| project |
| project_id |
GX19-28231X |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0385135 |
|
| abstract
(eng) |
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. |
| result_subspec |
WOS |
| RIV |
AH |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50202 |
| reportyear |
2025 |
| num_of_auth |
2 |
| inst_support |
RVO:67985556 |
| permalink |
https://hdl.handle.net/11104/0357044 |
| confidential |
S |
| article_num |
103573 |
| mrcbC91 |
C |
| mrcbT16-e |
BUSINESSFINANCE |
| mrcbT16-j |
1.326 |
| mrcbT16-D |
Q1 |
| arlyear |
2024 |
| mrcbU14 |
85204884041 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
001328804700001 WOS |
| mrcbU63 |
cav_un_epca*0367044 International Review of Financial Analysis Roč. 96 Part A 2024 1057-5219 1873-8079 Elsevier |
|