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What is Skewness and Volatility in Stock Returns about?

The paper investigates the relationship between stock return distributions and future returns, finding that lower volatility, higher skewness, and higher kurtosis are associated with higher future returns. It highlights that skewness indicates a greater probability of large positive returns, while kurtosis reflects the extremity of returns. The study also notes the significance of skewness and kurtosis in predicting returns, despite concerns about the intuition behind these findings and the statistical sign

Author

Abhijeet

Language

EN