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
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1 min read
Parameter Uncertainty, Financial Turbulence and Aggregate Stock Returns
In this paper, we develop a novel, intuitive and objective measure of time-varying parameter uncertainty (PU) based on a simple statistical test.
Sebastian Stöckl
The Economic Benefit of Forecasting Market Components for Mean-Variance Investors
Do forecasting errors from direct predictions of market components out-way the additional errors introduced by an intermediary asset pricing model?
lars-kaiser