Doan, Phuong; Lin, Chien-Ting; Zurbruegg, Ralf - In: Journal of International Financial Markets, … 20 (2010) 1, pp. 51-67
This paper investigates the importance of higher moments of return distributions in capturing the variation of average stock returns for companies listed in the leading S&P US and Australian indices. We find that Australian stocks are more negatively skewed but less leptokurtic than US stocks....