Risks of heterogeneously persistent higher moments

Jozef Baruník and Josef Kurka

International Review of Financial Analysis, 2024, vol. 96, issue PA

Abstract: Using intraday data for the cross-section of individual stocks, we show that both transitory and persistent fluctuations in realized market and average idiosyncratic volatility, skewness and kurtosis are differentially priced in the cross-section of asset returns, implying a heterogeneous persistence structure of different sources of higher moment risks. In particular, we find that both idiosyncratic transitory shocks to volatility and idiosyncratic persistent shocks to skewness share strong commonalities that are relevant to investors.

Keywords: Higher moments; Transitory; Persistent; Cross-section of returns (search for similar items in EconPapers)
JEL-codes: C14 C22 G11 G12 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005052

DOI: 10.1016/j.irfa.2024.103573

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