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Showing 1 to 2 of 2 for “"Fama-MacBeth test"”.
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Are Idiosyncratic Skewness and Idiosyncratic Kurtosis Priced?
… from January 1970 to December 2013, we run Fama-MacBeth test at the individual stock level. We document a negative and significant pricing effect of idiosyncratic skewness, consistent with the finding of Boyer et al. (2010). We also report that neither idiosyncratic volatility nor …
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Are Idiosyncratic Skewness and Idiosyncratic Kurtosis Priced?
… from January 1970 to December 2013, we run Fama-MacBeth test at the individual stock level. We document a negative and significant pricing effect of idiosyncratic skewness, consistent with the finding of Boyer et al. (2010). We also report that neither idiosyncratic volatility nor …