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- W2894580850 abstract "Higher moments of long-horizon returns are important for asset pricing but are hard to measure accurately using standard techniques. We provide theory showing that short-horizon (e.g. daily) returns can be used to construct precise estimates of long-horizon (e.g. annual) moments without making strong assumptions about the data generating process. Skewness comprises two components: skewness of short-horizon returns and a leverage effect, i.e. covariance between variance and lagged returns. We provide similar results for kurtosis. An application to US stock-index returns shows that skew is large and negative and attenuates only slowly as one moves from monthly to multi-year horizons." @default.
- W2894580850 created "2018-10-12" @default.
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- W2894580850 date "2018-01-01" @default.
- W2894580850 modified "2023-09-23" @default.
- W2894580850 title "The Skewness of the Stock Market at Long Horizons" @default.
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- W2894580850 doi "https://doi.org/10.2139/ssrn.3173581" @default.
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