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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
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 | ||||
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| Divisions: | Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
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| Journal or Publication Title: | Review of Financial Studies | ||||
| Publisher: | Oxford University Press | ||||
| ISSN: | 0893-9454 | ||||
| Official Date: | November 2012 | ||||
| Dates: |
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| 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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