West Loop Financial LLCKeep Skewness In Perspective – West Loop Financial LLC https://www.westloopfinancial.com Evolutionize Site Wed, 19 Aug 2020 20:50:49 +0000 en-US hourly 1 https://wordpress.org/?v=5.1.22 Keep Skewness In Perspective https://www.westloopfinancial.com/2015/11/02/keep-skewness-in-perspective/ https://www.westloopfinancial.com/2015/11/02/keep-skewness-in-perspective/#respond Mon, 02 Nov 2015 09:00:51 +0000 http://evolvemypractice.com/?p=2321 Diego Amaya, Peter Christoffersen, Kris Jacobs and Aurelio Vasquez, authors of the new paper, “Does Realized Skewness Predict the Cross-Section of Equity Returns?”, examined higher moments of volatility, skewness and kurtosis to determine if they have provided incremental explanatory power in the cross section of stock returns. Before reviewing the authors’ findings, which appear in...

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]]> Diego Amaya, Peter Christoffersen, Kris Jacobs and Aurelio Vasquez, authors of the new paper, “Does Realized Skewness Predict the Cross-Section of Equity Returns?”, examined higher moments of volatility, skewness and kurtosis to determine if they have provided incremental explanatory power in the cross section of stock returns.

Before reviewing the authors’ findings, which appear in the October 2015 Journal of Financial Economics, we’ll provide some brief definitions and background.

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