Frequency-Dependent Higher Moment Risks
| Autor: | doc. PhDr. Jozef Baruník Ph.D., Mgr. Josef Kurka , |
|---|---|
| Typ: | Submissions |
| Rok: | 2021 |
| Číslo: | 0 |
| ISSN / ISBN: | |
| Publikováno v: | preprint PDF |
| Místo vydání: | Prague |
| Klíčová slova: | Higher Moments, frequency, Spectral Analysis, Cross-sectional |
| JEL kódy: | C14, C22, G11, G12 |
| Citace: | |
| Granty: | GAUK No. 1188119: Horizon-specific risk, higher moments, and asset prices. UNCE Doctoral Fellowship |
| Abstrakt: | Based on intraday data for a large cross-section of individual stocks and Exchange traded funds, we show that short-term as well as long-term fluctuations of realized market and average idiosyncratic higher moments risks are priced in the cross-sectionof asset returns. Specifically, we find that market and average idiosyncratic volatility and kurtosis are significantly priced by investors mainly in the long-run even if controlled by market moments and other factors, while skewness is mostly short-run phenomenon. A conditional pricing model capturing the time-variation of moments confirms downward-sloping term structure of skewness risk and upward-sloping term structure of kurtosis risk, moreover the term structures connected to market skewness risk and average idiosyncratic skewness risk exhibit different dymanics. |
