Forecasting cross-section of stock returns with realised moments

Artikel

The study tests whether realised moments of stock returns (mean, variance, skewness and kurtosis) computed from daily returns over the last month, quarter and year can predict the 1-month cross-sectional stock returns of 40 US-traded liquid stocks in the period 1986-2019. The performed univariate regression analysis confirmed a statistically significant positive effect between all the realised moments, computed over the last quarter and year, and the future 1-month cross-sectional stock returns, while the 1-month realised moments proved to be mostly insignificant. Multivariate analysis, performed with Elastic Net Regression, has confirmed that investment strategies utilising information from realised moments were able to significantly outperform a random investment in the out-sample period 2004-2019.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: European Financial and Accounting Journal ; ISSN: 1805-4846 ; Volume: 14 ; Year: 2019 ; Issue: 2 ; Pages: 71-84 ; Prague: University of Economics, Faculty of Finance and Accounting

Klassifikation und Themen

• Klassifikation: Management ; Portfolio Choice; Investment Decisions ; Asset Pricing; Trading Volume; Bond Interest Rates ; Financial Forecasting and Simulation
• Thema: Cross-Section of Stock Returns ; Realised variance ; Realised Skewness ; Realised Kurtosis ; Momentum Effect

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Fičura, Milan
• Ereignis: Veröffentlichung
• (wer): University of Economics, Faculty of Finance and Accounting
• (wo): Prague
• (wann): 2019

Weitere Informationen

• DOI: doi:10.18267/j.efaj.227
• Handle: http://hdl.handle.net/10419/242273
• Letzte Aktualisierung: 10.03.2025, 11:41 MEZ