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What is Stock Return Forecasting with Realised Moments about?

The study by Milan Fičura investigates the predictive power of realised moments (mean, variance, skewness, and kurtosis) of stock returns on the future cross-section of stock returns for 40 US-traded stocks from 1986 to 2019. The findings reveal that realised moments calculated over the last quarter and year significantly predict future returns, while those calculated over one month are mostly insignificant. Additionally, investment strategies based on these realised moments outperform random investments in

Author

Oleh

Language

EN