Maxing out: Stocks as lotteries and the cross-section of expected returns
Motivated by existing evidence of a preference among investors for assets with lottery-like
payoffs and that many investors are poorly diversified, we investigate the significance of …
payoffs and that many investors are poorly diversified, we investigate the significance of …
International asset allocation under regime switching, skew, and kurtosis preferences
M Guidolin, A Timmermann - The Review of Financial Studies, 2008 - academic.oup.com
This paper investigates the international asset allocation effects of time-variations in higher-
order moments of stock returns such as skewness and kurtosis. In the context of a four …
order moments of stock returns such as skewness and kurtosis. In the context of a four …
Measuring skewness premia
H Langlois - Journal of Financial Economics, 2020 - Elsevier
We provide a new methodology to empirically investigate the respective roles of systematic
and idiosyncratic skewness in explaining expected stock returns. Using a large number of …
and idiosyncratic skewness in explaining expected stock returns. Using a large number of …
The MAX effect: An exploration of risk and mispricing explanations
This paper studies the role that risk and mispricing play in the negative relation between
extreme positive returns and future returns. We document a strong 'MAX effect'in Australian …
extreme positive returns and future returns. We document a strong 'MAX effect'in Australian …
Contagion across US and European financial markets: Evidence from the CDS markets
This study investigates whether contagion occurred during the recent global financial crisis
across European and US financial markets. The methodologies used to test for contagion …
across European and US financial markets. The methodologies used to test for contagion …
Someone like you: Lottery-like preference and the cross-section of expected returns in the cryptocurrency market
X Zhao, Y Wang, W Liu - … of International Financial Markets, Institutions and …, 2024 - Elsevier
This study sketches how crypto speculators place their bets and investigates the impact of
speculative behavior on cryptocurrency pricing. We conjecture that investors favor …
speculative behavior on cryptocurrency pricing. We conjecture that investors favor …
Book-to-market ratio and skewness of stock returns
XJ Zhang - The Accounting Review, 2013 - publications.aaahq.org
This study demonstrates that stocks with low book-to-market ratios, also known as glamour
stocks, have significantly more positive skewness in their return distributions compared to …
stocks, have significantly more positive skewness in their return distributions compared to …
Spillovers from stock markets to currency markets: Evidence from Copula-CoVar with time-varying higher moments
This study analyses the relationship between equites and foreign exchange markets by
employing a conditional value at risk (CoVaR) framework for developed and develo** …
employing a conditional value at risk (CoVaR) framework for developed and develo** …
The value of coskewness in mutual fund performance evaluation
D Moreno, R Rodríguez - Journal of Banking & Finance, 2009 - Elsevier
Recent asset pricing studies demonstrate the relevance of incorporating coskewness in
asset pricing models, and illustrate how this component helps to explain the time variation of …
asset pricing models, and illustrate how this component helps to explain the time variation of …
Higher co-moments and asset pricing on London Stock Exchange
A Kostakis, K Muhammad, A Siganos - Journal of Banking & Finance, 2012 - Elsevier
This study examines the asset pricing implications of preferences over the higher moments
of returns' distributions. We show that in a market populated by risk-averse, prudent and …
of returns' distributions. We show that in a market populated by risk-averse, prudent and …