Sebastian Stöckl
  • Home
  • Blog
  • CV
  • Research
    • Selected Publications
    • Selected Working Papers
    • All Publications
  • Talks
  • Teaching
    • Current teaching
    • Past Teaching
    • Thesis Topics
    • Thesis Supervision
    • Links to Code and Data
  • Contact
  • Academic Profile
Academic Profile
  • CV
    • Current Teaching
  • Projects
  • Experience
  • Uses
  • Blog
    • Use the 'ffdownload'-package to download Fama-French datasets in R
    • Populism, financial markets, and political capitalism
    • Election Portfolios - The Case of the 2020 US Presidential Election
    • index
  • News
    • **The 2nd [Alpine Finance Summit](https://www.alpinefinancesummit.org/) was a great success**:
  • Publications
    • Are There Fences in the Global Factor Zoo?
    • Breaking Bad: Parameter Uncertainty Caused by Structural Breaks in Stocks
    • Event Risk Premia and Non-Convex Volatility Smiles
    • Factor Chasing and the Cross-Country Factor Momentum Anomaly
    • Less Is More: Ranking Information, Estimation Errors and Optimal Portfolios
    • Lost in Translation: How Predictability Turns into Performance
    • Estimating Crypto-Related Risk: Market-Based Evidence from FTX's Failure and Its Contagion on U.S. Banks
    • Regime-Dependent Drivers of the EUR/CHF Exchange Rate
    • The Price of Populism - Financial Market Outcomes of Populist Electoral Success
    • Higher Moments Matter! Cross-Sectional (Higher) Moments and the Predictability of Stock Returns
    • Cryptocurrencies: Herding and the transfer currency
    • Political Event Portfolios
    • Parameter Uncertainty, Financial Turbulence and Aggregate Stock Returns
    • Credit Intermediation and the Transmission of Macro-Financial Uncertainty: International Evidence
    • What Drives Our Beer Consumption? - In Search of Nutrition Habits and Demographic Patterns
    • An example preprint / working paper
    • Turbulence in the Cross-Section: Predicting Factor Premia
    • Bid-Ask Spread Patterns and the Optimal Timing for Discretionary Liquidity Traders on Xetra
    • PRIX – A risk index for global private investors
    • The Economic Benefit of Forecasting Market Components for Mean-Variance Investors
    • Towards a Well-Founded Valuation of Managerial Flexibilities in IT Investment Projects - A Multidisciplinary Literature Review
    • Decision Support for IT Investment Projects
    • An example journal article
    • Financial Applications of the Mahalanobis Distance
    • An example conference paper
    • Die Riemannsche Vermutung
  • Recent & Upcoming Talks
    • Example Talk
  • Talks
    • Factor Chasing and the Cross-Country Factor Momentum Anomaly
    • Factor Chasing and the Cross-Country Factor Momentum Anomaly
    • Too much information: When reducing the informational content of input parameters yields better portfolios
    • Parameter Uncertainty, Financial Turbulence and Aggregate Stock Return
    • Portfolio Rules and Factor Premia under Ambiguity
    • The Price of Populism: Financial Market Outcomes of Populist Electoral Success
    • Parameter Uncertainty, Financial Turbulence and Aggregate Stock Returns
    • Parameter Uncertainty, Financial Turbulence and Aggregate Stock Returns
    • Turbulence in the Cross-Section: Predicting Factor Premia
    • Political Populism and Financial Markets
    • Turbulence in the Cross-Section: Predicting Factor Premia
    • Turbulence in the Cross-Section: Predicting Factor Premia
    • Turbulence in the Cross-Section: Predicting Factor Premia
    • Parameter Uncertainty, Financial Turbulence and Aggregate Stock Return
    • Parameter Uncertainty, Financial Turbulence and Aggregate Stock Returns
    • Parameter Uncertainty, Financial Turbulence and Aggregate Stock Return
    • Parameter Uncertainty, Financial Turbulence and Aggregate Stock Returns
    • Financial Turbulence, Parameter Uncertainty and Aggregate Stock Returns
    • Higher Moments Matter! Cross-Sectional (higher) Moments and the Predictability of Stock Returns
    • Financial Turbulence and Aggregate Stock Returns
    • The Economic Benefit of Forecasting Market Components for Mean-Variance Investors
    • Financial Turbulence and Aggregate Stock Returns
    • Portfolio Turbulence and the Predictability of Stock Returns
    • Portfolio Turbulence and the Predictability of Stock Returns
    • Comoment Factors and the Predictability of Stock Returns
    • Financial Applications of the Mahalanobis Distance
    • PRIX - A Risk Index for Global Private Investors
    • Financial Applications of the Mahalanobis Distance
    • PRIX - A Risk Index for Global Private Investors
    • What drives our beer consumption? - In search of nutrition habits and demographic patterns
    • A Risk Index for Global Private Investors
    • Towards a Precise Valuation of Interdependent IT Projects – A Real Option Approach Considering Unhedgeable Risks
  • Teaching
    • Potential Thesis Topics
    • Current Teaching
    • Past & Ongoing Thesis Supervision
    • Past Teaching

Higher Moments Matter! Cross-Sectional (higher) Moments and the Predictability of Stock Returns

2017-03-31 · 0 min read
PDF Code Dataset Slides Source Document Video
Last updated on 2025-10-26
Sebastian Stöckl
Authors
Sebastian Stöckl
Associate Professor in Financial Economics
← Financial Turbulence, Parameter Uncertainty and Aggregate Stock Returns 2017-06-22
Financial Turbulence and Aggregate Stock Returns 2016-12-14 →

© 2025 Dr. Sebastian Stöckl