This study exploits information contained in high frequency sample data by computing higher realized moments of individual firms in the emerging stock market of Pakistan. Furthermore, the relation of higher moments with future stock returns is examined by constructing decile portfolios based on...

Extending evidence from extant literature, this study finds the existence of realized skewness and momentum factors in the emerging stock market of Pakistan. Tick-by-tick data of listed firms atPakistan Stock Exchange (PSX) from 1 July 2008 to 31 August 2018 is used to generate five-minute...

This study decomposes realized moments into high and low components and examines if the high minus low realized moment factors are helpful in explaining future stock returns. Tick by tick data is used to generate five minute returns for computing daily estimates of realized moments. Daily...

This paper examines the implications for risk taking in an emerging stock market, viz., Pakistan Stock Exchange (PSX), using tools that specifically account for the asymmetries. We perform sectoral level price data analysis to infer how investors behaved during various states of stock market...