Risks of heterogeneously persistent higher moments
General Finance
2024-03-05 v2 Pricing of Securities
Abstract
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.
Keywords
Cite
@article{arxiv.2104.04264,
title = {Risks of heterogeneously persistent higher moments},
author = {Jozef Barunik and Josef Kurka},
journal= {arXiv preprint arXiv:2104.04264},
year = {2024}
}