Sebastian Stöckl
Sebastian Stöckl
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cross-sectional volatility
Higher Moments Matter! Cross-Sectional (Higher) Moments and the Predictability of Stock Returns
In this paper we investigate the predictive power of cross-sectional volatility, skewness and kurtosis for future stock returns.
Sebastian Stöckl
,
Lars Kaiser
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DOI
REVIEW OF FINANCIAL ECONOMICS
SGF 2017
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