Higher order moments of stock market volatility and the cross section of stock returns-Reference-Cited by-同舟云学术

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Higher order moments of stock market volatility and the cross section of stock returns

Published:2024-04 Issue: Volume: Page:105290
ISSN:1544-6123
Container-title:Finance Research Letters
language:en
Short-container-title:Finance Research Letters

Author:

Oh Byungmin^ORCID

Publisher

Elsevier BV

Reference35 articles.

1. Volatility of aggregate volatility and hedge fund returns;Agarwal;J. Financ. Econ.,2017

2. Illiquidity and stock returns: Cross-section and time-series effects;Amihud;J. Financial Mark.,2002

3. The cross-section of volatility and expected returns;Ang;J. Finance,2006

4. Delta-hedged gains and the negative market volatility risk premium;Bakshi;Rev. Financ. Stud.,2003

5. Stock return characteristics, skew laws, and the differential pricing of individual equity options;Bakshi;Rev. Financ. Stud.,2003

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