Forecasting Cross-Section of Stock Returns with Realised Moments

Milan Fičura

European Financial and Accounting Journal, 2019, vol. 2019, issue 2, 71-84

Abstract: The study tests whether realised moments of stock returns (mean, variance, skewness and kurtosis) computed from daily returns over the last month, quarter and year can predict the 1-month cross-sectional stock returns of 40 US-traded liquid stocks in the period 1986-2019. The performed univariate regression analysis confirmed a statistically significant positive effect between all the realised moments, computed over the last quarter and year, and the future 1-month cross-sectional stock returns, while the 1-month realised moments proved to be mostly insignificant. Multivariate analysis, performed with Elastic Net Regression, has confirmed that investment strategies utilising information from realised moments were able to significantly outperform a random investment in the out-sample period 2004-2019.

Keywords: Cross-Section of Stock Returns; Realised variance; Realised Skewness; Realised Kurtosis; Momentum Effect (search for similar items in EconPapers)
JEL-codes: G11 G12 G17 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://efaj.vse.cz/doi/10.18267/j.efaj.227.html (text/html)
http://efaj.vse.cz/doi/10.18267/j.efaj.227.pdf (application/pdf)
free of charge

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:prg:jnlefa:v:2019:y:2019:i:2:id:227:p:71-84

Ordering information: This journal article can be ordered from
European Financial and Accounting Journal, University of Economics, Prague, nám. W. Churchilla 4, 130 67 Prague 3, Czech Republic
http://efaj.vse.cz

DOI: 10.18267/j.efaj.227

Access Statistics for this article

European Financial and Accounting Journal is currently edited by Efaj Journal

More articles in European Financial and Accounting Journal from Prague University of Economics and Business Contact information at EDIRC.
Bibliographic data for series maintained by Stanislav Vojir ().