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Showing 1 to 2 of 2 for “"Idiosyncratic kurtosis"”.
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Are Idiosyncratic Skewness and Idiosyncratic Kurtosis Priced?
This thesis investigates the pricing effects of idiosyncratic moments. We document that idiosyncratic moments, namely idiosyncratic skewness and idiosyncratic kurtosis vary over time. If a factor/characteristic is priced, it must show minimum variation to be correlated with stock returns. Moreover, …
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Are Idiosyncratic Skewness and Idiosyncratic Kurtosis Priced?
This thesis investigates the pricing effects of idiosyncratic moments. We document that idiosyncratic moments, namely idiosyncratic skewness and idiosyncratic kurtosis vary over time. If a factor/characteristic is priced, it must show minimum variation to be correlated with stock returns. Moreover, …