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- W2004324558 abstract "This paper analyzes how the skewness and kurtosis of securities' returns are affected by the length of the differencing interval over which returns are measured. Hawawini's previous analysis of this “intervaling effect” on log returns is shown to be incorrect, and the correct effects are derived. While Hawawini only considered log returns, we also derived the intervaling effect on the skewness and kurtosis of “simple” returns. Our results show that the length of differencing interval has very different effects on log and simple returns, but in both cases the effects on the returns' skewness and kurtosis are substantial and also quite tractable. These results also enable us to reconcile some of the contradictory results published earlier on the intervaling effect." @default.
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- W2004324558 date "1989-05-01" @default.
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- W2004324558 title "The Analytics of the Intervaling Effect on Skewness and Kurtosis of Stock Returns" @default.
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- W2004324558 doi "https://doi.org/10.1111/j.1540-6288.1989.tb00340.x" @default.
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