Risks of heterogeneously persistent higher moments
Fuente:
arXiv
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| Auteurs principaux: | , |
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| Format: | Preprint |
| Publié: |
2021
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| _version_ | 1866916143973793792 |
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| author | Barunik, Jozef Kurka, Josef |
| author_facet | Barunik, Jozef Kurka, Josef |
| contents | 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. Specifically, we find that idiosyncratic transitory shocks to volatility as well as idiosyncratic persistent shocks to skewness contain strong commonalities that are relevant to investors. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2104_04264 |
| institution | arXiv |
| publishDate | 2021 |
| record_format | arxiv |
| spellingShingle | Risks of heterogeneously persistent higher moments Barunik, Jozef Kurka, Josef General Finance Pricing of Securities 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. Specifically, we find that idiosyncratic transitory shocks to volatility as well as idiosyncratic persistent shocks to skewness contain strong commonalities that are relevant to investors. |
| title | Risks of heterogeneously persistent higher moments |
| topic | General Finance Pricing of Securities |
| url | https://arxiv.org/abs/2104.04264 |