Detail publikace

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.

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