Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/242273 
Authors: 
Year of Publication: 
2019
Citation: 
[Journal:] European Financial and Accounting Journal [ISSN:] 1805-4846 [Volume:] 14 [Issue:] 2 [Publisher:] University of Economics, Faculty of Finance and Accounting [Place:] Prague [Year:] 2019 [Pages:] 71-84
Publisher: 
University of Economics, Faculty of Finance and Accounting, Prague
Abstract: 
The study tests whether realised moments of stock returns (mean, variance, skewness and kurtosis) computed from daily returns over the last month, quarter and year can predict the 1-month cross-sectional stock returns of 40 US-traded liquid stocks in the period 1986-2019. The performed univariate regression analysis confirmed a statistically significant positive effect between all the realised moments, computed over the last quarter and year, and the future 1-month cross-sectional stock returns, while the 1-month realised moments proved to be mostly insignificant. Multivariate analysis, performed with Elastic Net Regression, has confirmed that investment strategies utilising information from realised moments were able to significantly outperform a random investment in the out-sample period 2004-2019.
Subjects: 
Cross-Section of Stock Returns
Realised variance
Realised Skewness
Realised Kurtosis
Momentum Effect
JEL: 
G11
G12
G17
Persistent Identifier of the first edition: 
Document Type: 
Article

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