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Realized skewness

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Neuberger, Anthony (2012) Realized skewness. Review of Financial Studies, Vol.25 (No.11). pp. 3423-3455. doi:10.1093/rfs/hhs101

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Official URL: http://dx.doi.org/10.1093/rfs/hhs101

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Abstract

The third moment of returns is important for asset pricing, but it is hard to measure precisely, particularly at long horizons. This paper proposes a definition of the realized third moment that is computed from high-frequency returns. It provides an unbiased estimate of the true third moment of long-horizon returns, doing for the third moment what realized variance does for the second moment. The methodology is used to demonstrate that the skewness of equity index returns, far from diminishing with horizon, actually increases with horizons up to a year, and its magnitude is economically important. © 2012 The Author.

Item Type: Journal Article
Divisions: Faculty of Social Sciences > Warwick Business School > Finance Group
Faculty of Social Sciences > Warwick Business School
Journal or Publication Title: Review of Financial Studies
Publisher: Oxford University Press
ISSN: 0893-9454
Official Date: November 2012
Dates:
DateEvent
November 2012Published
Volume: Vol.25
Number: No.11
Page Range: pp. 3423-3455
DOI: 10.1093/rfs/hhs101
Status: Peer Reviewed
Publication Status: Published
Access rights to Published version: Restricted or Subscription Access

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