2 papers
q-fin.GN2026
Skewness Dispersion and Stock Market Returns
Mykola Babiak, Jozef Barunik, Josef Kurka
Cross-sectional dispersion in firm-level realized skewness is significantly and negatively related to future stock market returns. The predictive power of skewness dispersion is ro…
q-fin.GN2021
Risks of heterogeneously persistent higher moments
Jozef Barunik, Josef Kurka
Using intraday data for the cross-section of individual stocks, we show that both transitory and persistent fluctuations in realized market and average idiosyncratic volatility, sk…