Market skewness risk and the cross section of stock returns
Year of publication: |
2013
|
---|---|
Authors: | Chang, Bo Young ; Christoffersen, Peter F. ; Jakobs, Kris |
Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 107.2013, 1, p. 46-68
|
Subject: | Skewness risk | Cross section | Volatility risk | Option-implied moments | Factor-mimicking portfolios | Volatilität | Volatility | Risiko | Risk | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Schätzung | Estimation | Kapitalmarktrendite | Capital market returns | CAPM | Risikoprämie | Risk premium |
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