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- W2239367916 abstract "This paper investigates the sensitivity of higher-order co-moments for different return measurement intervals. The levels of systematic skewness and kurtosis are found to be significantly influenced by the length of return interval. An asset preferred because of its positive co-skewness and low co-kurtosis when measured in one particular interval may have negative co-skewness or high co-kurtosis for another interval. We find the intervaling effect varies according to the level of price adjustment delay as proxied by market capitalization and illiquidity. Findings persist for intervals of up to twelve months, and are consistent during both volatile and stable periods." @default.
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- W2239367916 date "2016-01-01" @default.
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- W2239367916 title "The Intervaling Effect on Higher-Order Co-Moments" @default.
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- W2239367916 doi "https://doi.org/10.2139/ssrn.2711291" @default.
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