Maxing out: Stocks as lotteries and the cross-section of expected returns

TG Bali, N Cakici, RF Whitelaw - Journal of financial economics, 2011 - Elsevier
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 …

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 …

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 …

The MAX effect: An exploration of risk and mispricing explanations

A Zhong, P Gray - Journal of Banking & Finance, 2016 - Elsevier
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 …

Contagion across US and European financial markets: Evidence from the CDS markets

N Apergis, C Christou, I Kynigakis - Journal of International Money and …, 2019 - Elsevier
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 …

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 …

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 …

Spillovers from stock markets to currency markets: Evidence from Copula-CoVar with time-varying higher moments

M Usman, Z Umar, M Gubareva, DK Tran - Applied Economics, 2023 - Taylor & Francis
This study analyses the relationship between equites and foreign exchange markets by
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 …

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 …