Publication detail

Frequency-Dependent Higher Moment Risks

Author(s): doc. PhDr. Jozef Baruník Ph.D.,
Mgr. Josef Kurka ,
Type: Submissions
Year: 2021
Number: 0
Published in: preprint PDF
Publishing place: Prague
Keywords: Higher Moments, frequency, Spectral Analysis, Cross-sectional
JEL codes: C14, C22, G11, G12
Suggested Citation:
Grants: GAUK No. 1188119: Horizon-specific risk, higher moments, and asset prices. UNCE Doctoral Fellowship
Abstract: 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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